Robust ℋ filtering of Markovian jump stochastic systems with uncertain transition probabilities

Xiuming Yao, Ligang Wu, Wei Zheng and Changhong Wang

International Journal of Systems Science, 2011, vol. 42, issue 7, 1219-1230

Abstract: This article investigates the problem of robust ℋ∞ filtering for a class of uncertain Markovian stochastic systems. The system under consideration not only contains Itô-type stochastic disturbances and time-varying delays, but also involves uncertainties both in the system matrices and in the mode transition rate matrix. Our aim is to design an ℋ∞ filter such that, for all admissible parameter uncertainties and time-delays, the filtering error system can be guaranteed to be robustly stochastically stable, and achieve a prescribed ℋ∞ disturbance rejection attenuation level. By constructing a proper stochastic Lyapunov–Krasovskii functional and employing the free-weighting matrix technique, sufficient conditions for the existence of the desired filters are established in terms of linear matrix inequalities, which can be readily solved by standard numerical software. Finally, a numerical example is provided to show the utility of the developed approaches.

Date: 2011
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DOI: 10.1080/00207720903513350

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