Robust − filtering for a class of dynamical systems with nonhomogeneous Markov jump process

Yanyan Yin, Peng Shi, Fei Liu and Kok Lay Teo

International Journal of Systems Science, 2015, vol. 46, issue 4, 599-608

Abstract: This paper investigates the problem of robust L2 − L∞ filtering for a class of dynamical systems with nonhomogeneous Markov jump process. The time-varying transition probabilities which evolve as a nonhomogeneous jump process are described by a polytope, and parameter-dependent and mode-dependent Lyapunov function is constructed for such system, and then a robust L2 − L∞ filter is designed which guarantees that the resulting error dynamic system is robustly stochastically stable and satisfies a prescribed L2 − L∞ performance index. A numerical example is given to illustrate the effectiveness of the developed techniques.

Date: 2015
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DOI: 10.1080/00207721.2013.792976

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