Title :
A mixed H2 / H∞ estimation problem for linear systems with state dependent noise
Author :
Stoica, Adrian-Mihail
Author_Institution :
Fac. of Aerosp. Eng., Univ. Politeh. of Bucharest, Bucharest, Romania
Abstract :
The paper presents a mixed H2 / H∞ estimation problem for continuous-time stochastic systems with state-dependent noise. The estimator has the structure of a Luenberger type observer. It is proved that the solution of the mixed H2 / H∞ estimation problem depends on the stabilizing solution of a specific filtering Riccati equation and on the solution of a Lyapunov equation. A numerical example illustrates the theoretical developments.
Keywords :
H∞ control; H2 control; Lyapunov methods; linear systems; stochastic systems; H2 IH∞ estimation problem; Luenberger type observer; Lyapunov equation; continuous time stochastic systems; filtering Riccati equation; linear systems; state dependent noise; Estimation; Kalman filters; Noise; Riccati equations; Stochastic systems;
Conference_Titel :
IECON 2011 - 37th Annual Conference on IEEE Industrial Electronics Society
Conference_Location :
Melbourne, VIC
Print_ISBN :
978-1-61284-969-0
DOI :
10.1109/IECON.2011.6119349
