Title :
ℋ∞ filtering for Markovian jump linear systems
Author :
de Souza, Carlos E. ; Fragoso, Marcelo D.
Author_Institution :
Dept. of Electr. & Comput. Eng., Newcastle Univ., NSW, Australia
Abstract :
The problem of ℋ∞ filtering for continuous-time linear systems with Markovian jumps is investigated. It is assumed that the jumping parameter is available. We propose a methodology for designing Markovian jump linear filters which ensure a prescribed bound on the L2-induced gain from the noise signals to the estimation error. The main result is tailored via linear matrix inequalities
Keywords :
Markov processes; continuous time systems; filtering theory; linear systems; matrix algebra; stochastic systems; ℋ∞ filtering; ℒ2-induced gain; Markovian jump linear filters; Markovian jump linear systems; continuous-time linear systems; estimation error; linear matrix inequalities; noise signals; Estimation error; Filtering; Linear matrix inequalities; Linear systems; Noise level; Nonlinear filters; Scientific computing; Signal design; Stochastic systems; Symmetric matrices;
Conference_Titel :
Decision and Control, 1996., Proceedings of the 35th IEEE Conference on
Conference_Location :
Kobe
Print_ISBN :
0-7803-3590-2
DOI :
10.1109/CDC.1996.577696
