Robust linear filtering for continuous-time hybrid Markov linear systems

Author

Costa, O.L.V. ; Fragoso, M.D.

Author_Institution

Dept. de Eng. de Telecomun. e Controle, Univ. de Sao Paulo, Sao Paulo, Brazil

fYear

2008

fDate

9-11 Dec. 2008

Firstpage

5098

Lastpage

5103

Abstract

We consider a class of hybrid systems which is modelled by continuous-time linear systems with Markovian jumps in the parameters (LSMJP). We assume that only an output of the system is available, and therefore the values of the jump parameter are not known. It is desired to design a dynamic linear filter such that the closed loop system is mean square stable and minimizes the stationary expected value of the square error. We consider uncertainties on the parameters of the possible modes of operation of the system. A linear matrix inequalities (LMI) formulation is proposed to solve the problem.

Keywords

Markov processes; closed loop systems; continuous time systems; filtering theory; linear matrix inequalities; linear systems; mean square error methods; stochastic systems; Markovian jumps; closed loop system; continuous-time hybrid Markov linear systems; dynamic linear filter; linear matrix inequalities; mean square stable; robust linear filtering; square error; Brazil Council; Closed loop systems; Control systems; Linear systems; Maximum likelihood detection; Nonlinear filters; Riccati equations; Robustness; Stochastic systems; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 2008. CDC 2008. 47th IEEE Conference on

Conference_Location

Cancun

ISSN

0191-2216

Print_ISBN

978-1-4244-3123-6

Electronic_ISBN

0191-2216

Type

conf

DOI

10.1109/CDC.2008.4739044

Filename

4739044