Abstract:

The robust H_∞ filtering problem for uncertain discrete-time Markovian jump linear systems with modedependent
time-delays is investigated. Attention is focused on designing a Markovian jump linear filter that ensures robust stochastic stability while achieving a prescribed H_∞ performance level of the resulting filtering error system, for all admissible uncertainties. The key features of the approach include the introduction of a new type of stochastic Lyapunov functional and some free weighting matrix variables. Sufficient conditions for the solvability of this problem are obtained in terms of a set of linear matrix inequalities. Numerical examples are provided to demonstrate the reduced conservatism of the proposed approach.