Title :
Robust ℋ∞ filtering for uncertain Markovian jump linear systems
Author :
de Souza, Carlos E. ; Fragoso, Marcelo D.
Author_Institution :
Dept. of Electr. & Comput. Eng., Newcastle Univ., NSW, Australia
Abstract :
This paper investigates the problem of ℋ∞ filtering for a class of uncertain Markovian jump linear systems. The uncertainty is assumed to be norm-bounded and appears in all the matrices of the system state-space model, including the coefficient matrices of the noise signals. It is also assumed that the jumping parameter is available. We develop a methodology for designing a Markovian jump linear filter that ensures a prescribed bound on the L2-induced gain from the noise signals to the estimation error, irrespective of the uncertainty. The proposed design is given in terms of linear matrix inequalities
Keywords :
Markov processes; filtering theory; linear systems; stochastic systems; uncertain systems; ℒ2-induced gain; Markovian jump linear filter; estimation error; linear matrix inequalities; noise signals; norm-bounded uncertainty; robust ℋ∞ filtering; state-space model; uncertain Markovian jump linear systems; Design methodology; Estimation error; Filtering; Linear matrix inequalities; Linear systems; Noise robustness; Nonlinear filters; Scientific computing; Statistics; Uncertainty;
Conference_Titel :
Decision and Control, 1996., Proceedings of the 35th IEEE Conference on
Conference_Location :
Kobe
Print_ISBN :
0-7803-3590-2
DOI :
10.1109/CDC.1996.577690
