Design of H∞ filters for Markovian jump delayed systems

This paper considers the problem of H_∞ filter design of Markovian jump systems with time-varying delay. Based on the Lyapunov-Krasovskii functional theory and the property of convex analysis, an H_∞ performance analysis condition is formulated in terms of a set of linear matrix inequalities. Then an Luenberger observer based H_∞ filter, which ensures the stochastic stability of the filtering error system with a prescribed H_∞ disturbance attenuation level, is designed. Numerical results are provided to show the effectiveness of the designed H_∞ filter.