Robust H∞ filter design for continuous-time nonhomogeneous Markov jump systems

This paper studies the problem of H_∞ filter design for continuous-time nonhomogeneous Markov jump systems. The time-varying transition probabilities in continuous-time domain are considered to be in a polytopic type. By constructing a Lyapunov function and fully considering the information of filter parameters, the stochastic stability and a prescribed H_∞ performance index are guaranteed in terms of Linear Matrix Inequalities (LMIs). A numerical example and an example of a mechanical system are provided to illustrate the feasibility and the effectiveness of the proposed approach.