Journal
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
Volume 42, Issue 7, Pages 1219-1230Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/00207720903513350
Keywords
Markovian jump systems; stochastic systems; uncertain transition probability; H-infinity filtering; time-varying delay
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Funding
- National Natural Science Foundation of China [60804002]
- Natural Science Foundation of Heilongjiang Province of China [QC2009C58]
- Programme for New Century Excellent Talents in University
- 973 Project [2009CB320600]
- Chinese Post-doctor Science Foundation [20090460892]
- Australian Research Council
- University of Western Sydney, Australia
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This article investigates the problem of robust H-infinity filtering for a class of uncertain Markovian stochastic systems. The system under consideration not only contains Ito-type stochastic disturbances and time-varying delays, but also involves uncertainties both in the system matrices and in the mode transition rate matrix. Our aim is to design an H-infinity filter such that, for all admissible parameter uncertainties and time-delays, the filtering error system can be guaranteed to be robustly stochastically stable, and achieve a prescribed H-infinity disturbance rejection attenuation level. By constructing a proper stochastic Lyapunov-Krasovskii functional and employing the free-weighting matrix technique, sufficient conditions for the existence of the desired filters are established in terms of linear matrix inequalities, which can be readily solved by standard numerical software. Finally, a numerical example is provided to show the utility of the developed approaches.
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