1. Robust H∞ Filtering for Discrete-Time Markov Jump Linear System with Missing Measurements.
- Author
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Niu, Yingjun, Dong, Wei, and Ji, Yindong
- Subjects
ROBUST control ,DISCRETE-time systems ,MARKOV processes ,JUMP processes ,LINEAR systems ,MISSING data (Statistics) - Abstract
The problem of robust H∞ filtering is investigated for discrete-time Markov jump linear system (DMJLS) with uncertain parameters and missing measurements. The missing measurements process is modelled as a Bernoulli distributed sequence. A robust H∞ filter is designed and sufficient conditions are established in terms of linear matrix inequalities via a mode-dependent Lyapunov function approach, such that, for all admissible uncertain parameters and missing measurements, the resulting filtering error system is robustly stochastically stable and a guaranteed H∞ performance constraint is achieved. Furthermore, the optimal H∞ performance index is subsequently obtained by solving a convex optimisation problem and the missing measurements effects on the H∞ performance are evaluated. A numerical example is given to illustrate the feasibility and effectiveness of the proposed filter. [ABSTRACT FROM AUTHOR]
- Published
- 2015
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