Magdi S. Mahmoud, Peng Shi, "Optimal guaranteed cost filtering for Markovian jump discrete-time systems", Mathematical Problems in Engineering, vol. 2004, Article ID 309749, 16 pages, 2004. https://doi.org/10.1155/S1024123X04108016
Optimal guaranteed cost filtering for Markovian jump discrete-time systems
This paper develops a result on the design of robust steady-state estimator for a class of uncertain discrete-time systems with Markovian jump parameters. This result extends the steady-state Kalman filter to the case of norm-bounded time-varying uncertainties in the state and measurement equations as well as jumping parameters. We derive a linear state estimator such that the estimation-error covariance is guaranteed to lie within a certain bound for all admissible uncertainties. The solution is given in terms of a family of linear matrix inequalities (LMIs). A numerical example is included to illustrate the theory.
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