Stochastic finite-time H ∞ filtering for nonlinear Markovian jump systems with partly known transition probabilities

Abstract

This article investigates the problem of the stochastic finite-time $H_{\infty}$ filtering for continuous nonlinear Markovian jump systems with partly known transition probabilities. Based on linear matrix inequality techniques, a novel Lyapunov function is constructed to design a filter with a prescribed finite-time $H_{\infty}$ performance index. Reciprocally, convex approach is introduced to decrease the conservatism of achieved criteria. Finally, some numerical simulations are carried out to demonstrate the effectiveness of developed method.

Keywords

Filtering finite-time nonlinear Markovian jump system transition probability

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