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Robust − filtering for a class of dynamical systems with nonhomogeneous Markov jump process

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  • Yanyan Yin
  • Peng Shi
  • Fei Liu
  • Kok Lay Teo

Abstract

This paper investigates the problem of robust L2 − L∞ filtering for a class of dynamical systems with nonhomogeneous Markov jump process. The time-varying transition probabilities which evolve as a nonhomogeneous jump process are described by a polytope, and parameter-dependent and mode-dependent Lyapunov function is constructed for such system, and then a robust L2 − L∞ filter is designed which guarantees that the resulting error dynamic system is robustly stochastically stable and satisfies a prescribed L2 − L∞ performance index. A numerical example is given to illustrate the effectiveness of the developed techniques.

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  • Yanyan Yin & Peng Shi & Fei Liu & Kok Lay Teo, 2015. "Robust − filtering for a class of dynamical systems with nonhomogeneous Markov jump process," International Journal of Systems Science, Taylor & Francis Journals, vol. 46(4), pages 599-608, March.
    • Handle: RePEc:taf:tsysxx:v:46:y:2015:i:4:p:599-608
    DOI: 10.1080/00207721.2013.792976
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    References listed on IDEAS

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    1. Yanyan Yin & Peng Shi & Fei Liu & Yongduan Song, 2013. "scheduling control on stochastic neutral systems subject to actuator nonlinearity," International Journal of Systems Science, Taylor & Francis Journals, vol. 44(7), pages 1301-1311.
    2. S. Xu & T. Chen & J. Lam, 2004. "Robust H ∞ Filtering for a Class of Nonlinear Discrete-Time Markovian Jump Systems," Journal of Optimization Theory and Applications, Springer, vol. 122(3), pages 651-668, September.
    3. Jia Xu & Jitao Sun, 2013. "Finite-time stability of nonlinear switched impulsive systems," International Journal of Systems Science, Taylor & Francis Journals, vol. 44(5), pages 889-895.
    4. Li-li Li & Jun Zhao & Georgi Dimirovski, 2013. "Multiple Lyapunov functions approach to observer-based control for switched systems," International Journal of Systems Science, Taylor & Francis Journals, vol. 44(5), pages 812-819.
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