Title :
ℋ∞ filtering for discrete-time linear systems with Markovian jumping parameters
Author :
de Souza, Carlos E. ; Fragoso, Marcelo D.
Author_Institution :
Dept. of Syst. & Control, Nat. Lab. for Sci. Comput., Rio de Janeiro, Brazil
Abstract :
This paper investigates the problem of ℋ∞ filtering for discrete-time linear systems with Markovian jumping parameters. It is assumed that the jumping parameter is available. We develop a methodology for designing discrete time Markovian jump linear filters which ensure a prescribed bound on the l2-induced gain from the noise signals to the estimation error. Both the cases when the transition probability matrix for the Markov chain is exactly known and when it is uncertain but belongs to a fixed polytope are considered. The proposed design is based on the solution of linear matrix inequalities
Keywords :
Markov processes; discrete time systems; filtering theory; linear systems; matrix algebra; probability; stochastic systems; H∞ filtering; Markov chain; Markovian jump linear filters; discrete-time systems; l2-induced gain; linear matrix inequality; linear systems; transition probability matrix; Control systems; Estimation error; Filtering; Laboratories; Linear matrix inequalities; Linear systems; Nonlinear filters; Scientific computing; Signal design; Statistics;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657090
