| Abstract: | This paper investigates the problem of ??∞ filtering for a class of uncertain Markovian jump linear systems. The uncertainty is assumed to be norm‐bounded and appears in all the matrices of the system state‐space model, including the coefficient matrices of the noise signals. It is also assumed that the jumping parameter is available. We develop a methodology for designing a Markovian jump linear filter that ensures a prescribed bound on the ??2‐induced gain from the noise signals to the estimation error, irrespective of the uncertainty. The proposed design is given in terms of linear matrix inequalities. Copyright © 2002 John Wiley & Sons, Ltd. |
