Robust H∞ Filtering for Discrete-Time Markov Jump Linear System with Missing Measurements

• Main Authors: Yingjun Niu, Wei Dong, Yindong Ji
• Format: Article
• Language: English
• Published: Hindawi Limited 2015-01-01
• Series: Mathematical Problems in Engineering
• Online Access: http://dx.doi.org/10.1155/2015/671491

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.