Robust Kalman Filter Synthesis for Uncertain Multiple Time-Delay Stochastic Systems

Abstract

The problem of robust Kalman filter synthesis is considered in this present study for discrete multiple time-delay stochastic systems with parametric and noise uncertainties. A discrete multiple time-delay uncertain stochastic system can be transformed into another uncertain stochastic system with no delay by properly defining state variables. Minimax theory and Bellman-Gronwall lemma are employed on the basis of the upper norm-bounds of parametric uncertainties and noise uncertainties. A robust criterion can consequently be derived which guarantees the asymptotic stability of the uncertain stochastic system. Designed procedures are finally elaborated upon with an illustrative example.