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Mode-Independent {cal H}_{\infty } Filters for Markovian Jump Linear Systems

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3 Author(s)
de Souza, Carlos E. ; Dept. of Syst. & Control, Laboratorio Nacional de Cornputacao Cientifica, Petropolis ; Trofino, Alexandre ; Barbosa, K.A.

This note addresses the problem of Hinfin filtering for continuous-time linear systems with Markovian jumping parameters. The main contribution of the note is to provide a method for designing an asymptotically stable linear time-invariant Hinfin filter for systems where the jumping parameter is not accessible. The cases where the transition rate matrix of the Markov process is either exactly known, or unknown but belongs to a given polytope, are treated. The robust Hinfin filtering problem for systems with polytopic uncertain matrices is also considered and a filter design method based on a Lyapunov function that depends on the uncertain parameters is developed. The proposed filter designs are given in terms of linear matrix inequalities

Published in:

Automatic Control, IEEE Transactions on  (Volume:51 ,  Issue: 11 )

Date of Publication:

Nov. 2006

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