Robust Kalman filtering for discrete-time Markovian jump systems with parameter uncertainty

In this paper, we examine the problem of robust Kalman filtering for a class of linear uncertain discrete-time systems with Markovian jump parameters. The underlying system is subjected to norm-bounded time-varying uncertainties in the state and measurement equations. First, stochastic quadratic stability of the system is studied. Then a linear state estimator is constructed such that the estimation error covariance is guaranteed to lie within certain bound for all admissible uncertainties. The solution is given in terms of two coupled algebraic Riccati equations.