Robust H 2 Filtering for Discrete‐Time Markovian Jump Linear Systems

This paper studies the problems of H2 filtering for discrete-time Markovian jump linear systems with non-accessible mode information. The objective is to design a less-conservative mode-independent H2 filter such that the filtering error system is stochastically stable. To this end, sufficient conditions for the existence of an upper bound of H2 norm are given in terms of linear matrix inequalities. With the introduction of a slack variable, a less-conservative filter is derived. The proposed robust H2 filter design method is also applicable to cover the cases where the system matrices are subject to polytopic uncertainty, as well as the case where the transition probability matrix is subject to a given polytopic uncertainty. Application of the proposed method to three examples from the literature demonstrates the favorable performance of the proposed solution to existing approaches.