Finite-time H ∞ filtering for a class of discrete-time Markovian jump systems with partly unknown transition probabilities

SUMMARY This paper is concerned with the problem of finite-time H ∞  filtering for a class of Markovian jump systems subject to partial information on the transition probabilities. By introducing some slack matrix variables in terms of probability identity, a less conservative bounded real lemma is derived to ensure that filtering Markovian jump systems is finite-time stable. Finally, the existence criterion of the desired filter is obtained such that the corresponding filtering error system is finite-time bounded with a guaranteed H ∞  performance index. An example is given to illustrate the efficiency of the proposed method. Copyright © 2013 John Wiley & Sons, Ltd.

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