A delay decomposition approach to L2-L∞ filter design for stochastic systems with time-varying delay

This paper investigates the problem of L-2-L-infinity filter design for a class of stochastic systems with time-varying delay. The addressed problem is the design of a full order linear filter such that the error system is asymptotically mean-square stable and a prescribed L-2-L-infinity performance is satisfied. In order to develop a less conservative filter design, a new Lyapunov-Krasovskii functional (LKF) is constructed by decomposing the delay interval into multiple equidistant subintervals, and a new integral inequality is established in the stochastic setting. Then, based on the LKF and integral inequality, the delay-dependent conditions for the existence of L-2-L-infinity filters are obtained in terms of linear matrix inequalities (LMIs). The resulting filters can ensure that the error system is asymptotically mean-square stable and the peak value of the estimation error is bounded by a prescribed level for all possible bounded energy disturbances. Finally, two examples are given to illustrate the effectiveness of the proposed method. (C) 2011 Elsevier Ltd. All rights reserved.