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Zbl 1152.93052
He, Shuping; Liu, Fei
Unbiased $H_\infty$ filtering for neutral Markov jump systems.
(English)
[J] Appl. Math. Comput. 206, No. 1, 175-185 (2008). ISSN 0096-3003

Summary: The unbiased $H_{\infty }$ filtering problem is studied for stochastic Markov jump system with constant and neutral time-delays. By reconstructing the system, the dynamic filtering error characteristics of unknown inputs and time-delays are obtained. A sufficient condition is initially established on the existence of mode-dependent unbiased $H_{\infty }$ filter of constant time-delay system using stochastic Lyapunov-Krasovskii function. Then, the unbiased $H_{\infty }$ filter is also designed for the jump system with constant and neutral time-delays. The design criterions are presented in the form of linear matrix inequality. Finally, the unbiased $H_{\infty }$ filtering problems are described as optimization algorithms. Numerical examples illustrate the effectiveness of the developed techniques.
MSC 2000:
*93E11 Filtering in stochastic control
60J75 Jump processes
93E25 Computational methods in stochastic control

Keywords: Markov jump system; unbiased $H_{\infty }$ filtering; neutral time-delay; stochastic Lyapunov-Krasovskii function; linear matrix inequality

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