Delay-dependent robust peak-to-peak filtering for stochastic systems with time-delay

The problem of robust peak-to-peak filtering for a class of stochastic systems with time delay and L∞ disturbance is investigated in this paper. The objective is to design a robust peak-to-peak filter such that the peak value of the estimation error is minimized for possible bounded disturbances. A delay-dependent sufficient condition is presented, which guarantees the mean-square exponential stability and a prescribed H∞ performance level. A desired filter can be constructed by the proposed approach. All conditions are given in the form of LMI which can be solved effectively. A numerical example is given to illustrate the effectiveness of the proposed method.