Robust filtering for discrete-time linear systems with Markov switching parameters

Author

Costa, O.L.V. ; Jimenez, S.G.

Author_Institution

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

fYear

2001

fDate

4-7 Sept. 2001

Firstpage

336

Lastpage

341

Abstract

We consider the robust linear filtering of discrete-time Markovian jump linear systems. 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. An LMI formulation is proposed to solve the problem. For the case in which there are no uncertainties on the modes of operation of the system, we show that the LMI formulation provides the same filter as the Riccati equation approach.

Keywords

Markov processes; Riccati equations; closed loop systems; discrete time filters; linear matrix inequalities; mean square error methods; uncertain systems; LMI formulation; Markov switching parameters; Riccati equation approach; closed loop system; discrete-time Markovian jump linear systems; dynamic linear filter design; jump parameter values; mean square stable system; robust linear filtering; stationary expected square error value minimization; uncertain operation modes; Linear systems; Markov processes; Optimization; Riccati equations; Robustness; Uncertainty; LMI; Markovian jump systems; discrete-time; robust filtering;

fLanguage

English

Publisher

ieee

Conference_Titel

Control Conference (ECC), 2001 European

Conference_Location

Porto

Print_ISBN

978-3-9524173-6-2

Type

conf

Filename

7075929