Exponential H∞ filter design for stochastic time‐varying delay systems with Markovian jumping parameters |
| |
Authors: | Li Ma Feipeng Da |
| |
Affiliation: | Key Laboratory of Measurement and Control for Complex System of Ministry of Education, Research Institute of Automation, Southeast University, Nanjing 210096, People's Republic of China |
| |
Abstract: | In this paper, the exponential H∞ filter design problem is investigated for a general class of stochastic time‐varying delay system with Markovian jumping parameters. The stochastic uncertainties appear in both the dynamic and the measurement equations and the state delay is assumed to be time‐varying. Attention is focused on the design of mean‐square exponentially stable and Markovian jump filter such that the filtering error systems are mean‐square exponentially stable and the estimation error satisfies a given H∞ performance. By introducing some slack matrix variables, delay‐dependent sufficient conditions for the solvability of the above problem are presented in terms of linear matrix inequalities (LMIs). In addition, the decay rate can be a given positive value without any other constraints. When the proposed LMIs are feasible, an explicit expression of the desired H∞ filter can be given. A numerical example is provided to illustrate the effectiveness of the proposed design approach. Copyright © 2009 John Wiley & Sons, Ltd. |
| |
Keywords: | filter stochastic systems time‐varying delay systems Markov chain linear matrix inequality |
|
|