Filtering for discrete-time nonhomogeneous Markov jump systems with uncertainties

Abstract

This paper studies the problem of robust HO filtering for a class of uncertain discrete-time nonhomogeneous Markov jump systems. The time-varying jump transition probability matrix is described by a polytope. By Lyapunov function approach, mode-dependent and variation-dependent HO filter is designed such that the resulting error dynamic system is stochastically stable and has a prescribed HO performance index. A numerical example is given to illustrate the effectiveness of the developed techniques. © 2013 Elsevier Inc. All rights reserved.