Abstract:

The finite horizon robust H∞ filtering problem is addressed for uncertain time-varying discrete time systems with norm-bounded uncertainties. A necessary and sufficient condition for the existence of finite-horizon robust H∞ filter is presented. Furthermore, the constructive procedure of the finite-horizon robust H∞ filter design is given on the basis of  linear matrix inequalities (LMIs) technique. The resulting filter can satisfy the given performance index for all admissible uncertainties. Finally, simulation result shows the filter obtained achieves the specified design goal.