7-im Filtering for Discrete-Time Linear Systems with Markovian Jumping Parameters*

This paper investigates the problem of H, filtering for discrete-time linear systems with Markovian jumping parameters. It is assumed that the jumping parameter is available. We develop a methodology for designing discretetime Markovian jump linear filters which ensure a prescribed bound on the &-induced gain from the noise signals to the estimation error. Both the cases when the transition probability matrix for the Markov chain is exactly known and when it is uncertain but belongs to a fixed polytope are considered. The proposed design is based on the solution of linear matrix inequalities.