Robust L₂ − L∞ filtering for a class of dynamical systems with nonhomogeneous Markov jump process
Date
2015
Authors
Yin, Y.
Shi, P.
Liu, F.
Teo, K.
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Journal article
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International Journal of Systems Science, 2015; 46(4):599-608
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Yanyan Yin, Peng Shi, Fei Liu, Kok Lay Teo
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Abstract
This paper investigates the problem of robust L₂ − L∞ filtering for a class of dynamical systems with nonhomogeneous Markov jump process. The time-varying transition probabilities which evolve as a nonhomogeneous jump process are described by a polytope, and parameter-dependent and mode-dependent Lyapunov function is constructed for such system, and then a robust L₂ − L∞ filter is designed which guarantees that the resulting error dynamic system is robustly stochastically stable and satisfies a prescribed L₂ − L∞ performance index. A numerical example is given to illustrate the effectiveness of the developed techniques.
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© 2013 Taylor & Francis