Title :
Robust filtering for discrete-time Markovian jump delay systems
Author :
Wang, Zidong ; Lam, James ; Liu, Xiaohui
Author_Institution :
Dept. of Inf. Syst. & Comput., Brunel Univ., Middlesex, UK
Abstract :
In this letter, we study the robust filtering problem for linear uncertain discrete time-delay systems with Markovian jump parameters. The system under consideration is subjected to time-varying norm-bounded parameter uncertainties, time-delay in the state, and Markovian jump parameters in all system matrices. A filter is designed to guarantee that the dynamics of the estimation error is robustly stochastically stable in the mean square, irrespective of the admissible uncertainties as well as the time-delay. It is shown that the problem addressed can be solved in terms of the solutions to a set of coupled matrix Riccati-like inequalities.
Keywords :
Kalman filters; Markov processes; Riccati equations; delay systems; discrete time systems; linear systems; mean square error methods; stochastic systems; uncertain systems; Markovian jump delay system; Riccati-like inequality; algebraic matrix inequality; discrete time-delay system; estimation error; estimation error coupled matrix; linear uncertain system; robust filtering; time-varying norm-bounded parameter uncertainty; Delay systems; Estimation error; Filtering; Linear matrix inequalities; Nonlinear filters; Riccati equations; Robustness; Time varying systems; Uncertain systems; Uncertainty; Algebraic matrix inequalities; Markovian jump systems; robust filtering; time delay; uncertain systems;
Journal_Title :
Signal Processing Letters, IEEE
DOI :
10.1109/LSP.2004.831729
