Optimal guaranteed cost filtering for Markovian jump discrete-time systems

Magdi S. Mahmoud and Peng Shi

Mathematical Problems in Engineering, 2004, vol. 2004, 1-16

Abstract:

This paper develops a result on the design of robust steady-state estimator for a class of uncertain discrete-time systems with Markovian jump parameters. This result extends the steady-state Kalman filter to the case of norm-bounded time-varying uncertainties in the state and measurement equations as well as jumping parameters. We derive a linear state estimator such that the estimation-error covariance is guaranteed to lie within a certain bound for all admissible uncertainties. The solution is given in terms of a family of linear matrix inequalities (LMIs). A numerical example is included to illustrate the theory.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:309749

DOI: 10.1155/S1024123X04108016

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