<i>H</i>_∞ Filtering of Mean Field Stochastic Differential Systems

Abstract

This paper addresses the H∞ filtering problem for mean field stochastic differential systems that involve both state-dependent and disturbance-dependent noise. We assume that the state as well as the measurement output is distracted by an uncertain exogenous disturbance. Firstly, a sufficient condition for the stochastic-bounded real lemma is given. Next, H∞ filtering, which is built upon a stochastic-bounded real lemma, is put forward by two linear matrix inequalities. Furthermore, the validation of the theoretical analysis is demonstrated with two examples.

Keywords

• <i>H</i>_∞ filtering
• mean field systems
• linear matrix inequalities