抄録
In this paper we study the H∞ state estimation problems for a class of linear continuous-time systems with impulsive effects, stochastic uncertainties and discretetime observation on the finite time interval. The systems include linear stochastic discrete-time systems. We adopt game theoretic and variational approach, and derive, the impulsive Riccati equation which gives the necessary condition for the solvability of the H∞ estimation problems, the estimates and the form of H∞ estimators by calculating the stochastic first variation of the performance index under the dynamics constraint. The stochastic variational approach is equivalent to that for control systems in [22, 23] form the point of view of target tracking.
