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This paper considers the problem of robust H∞ filtering for uncertain Markovian jump linear systems with time-delays which are time-varying and depend on the system mode. The parameter uncertainties are time-varying norm-bounded. The aim of this problem is to design a Markovian jump linear filter that ensures robust exponential mean-square stability of the filtering error system and a prescribed L2- induced gain from the noise signals to the estimation error, for all admissible uncertainties. A sufficient condition for the solvability of this problem is obtained. The desired filter can be constructed by solving a set of linear matrix inequalities. An illustrative numerical example is provided to demonstrate the effectiveness of the proposed approach.
Date of Publication: May 2003