Finite-Time Reduced-Order Filtering of Markovian Jump One-Sided Lipschitz Systems

The non-fragile finite-time reduced-order filtering problem is studied in this paper for Markovian jump one-sided Lipschitz systems, where the fluctuations are taken into consideration in the gain matrices. A linear matrix inequality (LMI) based approach is presented to resolve it. A sufficient condition is obtained such that the gain matrices of the finite-time reduced-order filter can be efficiently determined with a prescribed $H_{\infty}$ performance. The application of the proposed approach is demonstrated by a numerical example.