TITLE:
Robust Finite-Time H∞ Filtering for Discrete-Time Markov Jump Stochastic Systems
AUTHORS:
Aiqing Zhang
KEYWORDS:
Markov Jump Stochastic Systems, Finite-Time Stability, Filter Design, Linear Matrix Inequality
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.6 No.11,
November
26,
2018
ABSTRACT: This study is concerned with the
problem of finite-time H∞ filter design for uncertain discrete-time Markov Jump stochastic systems. Our
attention is focused on the design of mode-dependent H∞ filter to ensure the finite-time stability of the
filtering error system and preserve a prescribed H∞ performance level for all admissible uncertainties.
Sufficient conditions of filtering design for the system under consideration
are developed and the corresponding filter parameters can be achieved in terms
of linear matrix inequalities (LMI). Finally, a numerical example is provided
to illustrate the validity of the proposed method.