State Estimation of Uncertain Nonlinear Stochastic Systems with General Criteria

A general class of discrete-time uncertain nonlinear stochastic systems corrupted by finite energy disturbances and estimation performance criteria are considered. These performance criteria include guaranteed-cost suboptimal versions of estimation objectives like H2, H∞, stochastic passivity, etc. Linear state estimators that satisfy these criteria are presented. A common matrix inequality formulation is used in characterization of estimator design equations