Journal
AUTOMATICA
Volume 45, Issue 11, Pages 2570-2576Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.automatica.2009.07.004
Keywords
Markov jump linear systems; H-infinity filtering; Piecewise homogeneous TPs; Arbitrary variation and stochastic variation of TP matrices
Funding
- The University of Hong Kong
- Outstanding Youth Science Fund of China [60825303]
- 973 Project in China [2009CB320600]
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This paper concerns the problem of H-infinity estimation for a class of Markov jump linear systems (MJLS) with time-varying transition probabilities (TPs) in discrete-time domain. The time-varying character of TPs is considered to be finite piecewise homogeneous and the variations in the finite set are considered to be of two types: arbitrary variation and stochastic variation, respectively. The latter means that the variation is subject to a higher-level transition probability matrix. The mode-dependent and variation-dependent H-infinity filter is designed such that the resulting closed-loop systems are stochastically stable and have a guaranteed H-infinity filtering error performance index. Using the idea in the recent studies of partially unknown TPs for the traditional MJLS with homogeneous TPs, a generalized framework covering the two kinds of variations is proposed. A numerical example is presented to illustrate the effectiveness and potential of the developed theoretical results. (C) 2009 Elsevier Ltd. All rights reserved.
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