Robust H∞ Filtering for a Class of Uncertain Markovian Jump Systems with Time Delays

Abstract EN

This paper studies the problem of robust H∞ filtering for a class of uncertain time-delay systems withMarkovian jumping parameters.

The system under consideration is subject to norm-bounded time-varyingparameter uncertainties.

The problem to be addressed is the design of a Markovian jump filter such thatthe filter error dynamics are stochastically stable and a prescribed bound on the ℒ2-induced gain from thenoise signals to the filter error is guaranteed for all admissible uncertainties.

A sufficient condition forthe existence of the desired robust H∞ filter is given in terms of two sets of coupled algebraic Riccatiinequalities.

When these algebraic Riccati inequalities are feasible, the expression of a desired H∞ filter isalso presented.

Finally, an illustrative numerical example is provided.