Nonlinear H∞ filtering for interconnected Markovian jump systems

The problem of nonlinear H_∞ filtering for interconnected Markovian jump systems is discussed. The aim of this note is the design of a nonlinear Markovian jump filter such that the resulting error system is exponentially mean-square stable and ensures a prescribed H_∞ performance. A sufficient condition for the solvability of this problem is given in terms of linear matrix inequalities(LMIs). A simulation example is presented to demonstrate the effectiveness of the proposed design approach.