Robust filtering of markovian jump stochastic systems

This chapter investigates the problem of robust H_∞ filtering for a class of uncertain Markovian jump Ito stochastic systems. The system under consideration not only contains Ito-type stochastic disturbances and time-varying delays, but also involves uncertainties both in the system matrices and in the mode transition rate matrix. Our aim is to design an H_∞ filter such that, for all admissible parameter uncertainties and time-delays, the filtering error system can be guaranteed to be robustly stochastically stable, and achieve a prescribed H_∞ disturbance rejection attenuation level. By constructing a proper stochastic Lyapunov-Krasovskii functional and employing the free-weighting matrix technique, sufficient conditions for the existence of the desired filters are established in terms of LMIs, which can be readily solved by standard numerical software.