3 Continuous-time Systems: General Filtering

Abstract

In this chapter we bring the solution of the continuous-time stationary filtering using a general-type filter [45], [41]. Recently, the solution of the outputfeedback problem for LTI continuous-time stochastic uncertain systems has been derived for the stationary case [59]. The solution in [59] is obtained by formulating a stochastic BRL and a general-type controller. It results in two coupled nonlinear matrix inequalities which reduce to the standard H∞ output-feedback problem in the nominal case. The solution in [59] does not include uncertainty in the measurement matrix, which is most likely to be found in physical control systems. part.