IEEE Transactions on Automatic Control, Vol.54, No.6, 1347-1351, 2009
H-infinity Filtering of Discrete-Time Markov Jump Linear Systems Through Linear Matrix Inequalities
This technical note addresses the discrete-time Markov jump linear systems H-infinity filtering design problem. First, tinder the assumption that the Markov parameter is measurable, the main contribution is the linear matrix inequality (LMI) characterization of all linear filters such that the estimation error remains bounded by a given H-infinity norm level, yielding the complete solution of the mode-dependent filtering design problem. Based on this result, a robust filter design able to deal with polytopic uncertainty is considered. Second, front file same LMI characterization, a design procedure for mode-independent filtering is proposed. Some examples are solved for illustration and comparisons.
Keywords:Discrete-time systems;linear matrix inequalities (LMIs);Markov jump linear systems;robust filtering