Robust H∞ filtering for switched stochastic systems under asynchronous switching

This paper investigates the problem of robust H∞ filtering for switched stochastic systems under asynchronous switching. The so-called asynchronous switching means that the switching between the filters and system modes is asynchronous. The aim is to design a filter ensuring robust exponential mean square stability and a prescribed H∞ performance level for the filtering error systems. Based on the average dwell time approach and piecewise Lyapunov functional technique, sufficient conditions for the existence of the robust H∞ filter are derived, and the proposed filter can be obtained by solving a set of LMIs(linear matrix inequalities). Finally, a numerical example is given to show the effectiveness of the proposed approach.