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- W2019425289 abstract "The problem of H∞ filtering of stationary discrete-time linear systems with stochastic uncertainties in the state space matrices is addressed, where the uncertainties are modeled as white noise. The relevant cost function is the expected value, with respect to the uncertain parameters, of the standard H∞ performance. A previously developed stochastic bounded real lemma is applied that results in a modified Riccati inequality. This inequality is expressed in a linear matrix inequality form whose solution provides the filter parameters. The method proposed is applied also to the case where, in addition to the stochastic uncertainty, other deterministic parameters of the system are not perfectly known and are assumed to lie in a given polytope. The problem of mixed H2/H∞ filtering for the above system is also treated. The theory developed is demonstrated by a simple tracking example." @default.
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- W2019425289 date "2002-04-01" @default.
- W2019425289 modified "2023-10-17" @default.
- W2019425289 title "Robust H∞ estimation of stationary discrete-time linear processes with stochastic uncertainties" @default.
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- W2019425289 doi "https://doi.org/10.1016/s0167-6911(01)00183-9" @default.
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