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期刊论文
Reduced-Order H∞ Filtering for Stochastic Systems
IEEE TRANSACTIONS ON SIGNAL PROCESSING VOL.50 NO.12(2002)2998-3007,-0001,():
This paper deals with the reduced-order H∞ filtering problem for stochastic systems. Necessary and sufficient conditions are obtained for the existence of solutions to the continuous-time and discrete-time problems in terms of certain linear matrix inequalities (LMIs) and a coupling nonconvex rank constraint condition. Furthermore, when these conditions are feasible, an explicit parametrization of all desired reduced-order filters corresponding to a feasible solution is given. In particular, when the reduced-order filter is restricted to be a static one, then simple conditions expressed by LMIs only without any rank constraints are derived, and a parametrization of all solutions is also given. Finally, an illustrative example is provided to show the effectiveness of the proposed approach.
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