Robust Finite-time Filtering for Singular Discrete-time Stochastic Systems

This paper addresses the problem of singular stochastic finite-time filter design for uncertain discrete-time singular stochastic systems. The stochastic Lyapunov function method is adopted to design a filter such that for all admissible uncertainties, the filtering en-or system is singular stochastic finite-time stable (SSFTS) and preserves a prescribed performance level. A sufficient condition for the existence of a filter for the system under consideration is developed and the corresponding filter parameters can be calculated by solving a sequence of linear matrix inequalities (LMI). Finally, a numerical example is given to illustrate the design procedure and the effectiveness of the proposed method.