- 著者
- Gou Nakura
- 出版者
- The ISCIE Symposium on Stochastic Systems Theory and Its Applications
- 雑誌
- Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (ISSN:21884730)
- 巻号頁・発行日
- vol.2015, pp.37-46, 2015-05-19 (Released:2015-10-30)
- 参考文献数
- 29
- 被引用文献数
- 2 3
In this paper we study the H∞ state estimation problems for a class of linear continuous-time systems with impulsive effects, stochastic uncertainties and discretetime observation on the finite time interval. The systems include linear stochastic discrete-time systems. We adopt game theoretic and variational approach, and derive, the impulsive Riccati equation which gives the necessary condition for the solvability of the H∞ estimation problems, the estimates and the form of H∞ estimators by calculating the stochastic first variation of the performance index under the dynamics constraint. The stochastic variational approach is equivalent to that for control systems in [22, 23] form the point of view of target tracking.