H∞ Filtering for Markovian Jump Linear Systems with Uncertain Transition Probabilities

被引：15
|
作者：
Liu, Xi-Kui [1 ]
Zhuang, Ji-Jing [1 ]
Li, Yan [2 ]
机构：
[1] Shandong Univ Sci & Technol, Coll Math & Syst Sci, Qingdao 266590, Peoples R China
[2] Shandong Univ Sci & Technol, Coll Elect Engn & Automat, Qingdao 266590, Peoples R China
来源：
INTERNATIONAL JOURNAL OF CONTROL AUTOMATION AND SYSTEMS | 2021年 / 19卷 / 07期
基金：
中国国家自然科学基金;
关键词：
H; filtering; Markov jump; stochastic system; uncertain transition probabilities; TIME STOCHASTIC-SYSTEMS; INDEX;
D O I：
10.1007/s12555-020-0129-y
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper studies the H-infinity filtering problem of stochastic linear systems subject to Markovian jump and multiplicative noise. The transition probabilities are considered to be uncertain. A unified form of filters is constructed for both continuous-time and discrete-time stochastic systems. With the new decoupling technique for the coupling terms between Lyapunov matrices and filtering parameters, sufficient conditions of stochastic stability and H-infinity performance of filtering error system are derived. Based on these conditions, the filter is designed with less coupling matrices and the filter gain matrices are obtained by calculating a set of linear matrix inequalities. Finally, three examples are presented to test the effectiveness of the obtained method.
引用
收藏
页码：2500 / 2510
页数：11
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