Luenberger-Type Observer Design for Stochastic Time-Delay Systems

This paper deals with the problem of an observer design for stochastic time-delay systems. The system states are unmeasured. We derive delay-dependent LMI criteria by means of the Leibniz-Newton formula, the Itô’s differential operator and stochastic Lyapunov stability theory in order to obtain sufficient conditions for the asymptotic stability in the mean square for the closed-loop stochastic time-delay system. The proposed conditions are easily and numerically tractable via a Matlab LMI toolbox. The effectiveness of the control strategy is verified by numerical experiments.