H∞ Filtering for Markovian Jump Linear Systems with Uncertain Transition Probabilities
This paper studies the H ∞ filtering problem of stochastic linear systems subject to Markovian jump and multiplicative noise. The transition probabilities are considered to be uncertain. A unified form of filters is constructed for both continuous-time and discrete-time stochastic systems. With the...
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| Published in | International journal of control, automation, and systems Vol. 19; no. 7; pp. 2500 - 2510 |
|---|---|
| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
Bucheon / Seoul
Institute of Control, Robotics and Systems and The Korean Institute of Electrical Engineers
01.07.2021
Springer Nature B.V 제어·로봇·시스템학회 |
| Subjects | |
| Online Access | Get full text |
| ISSN | 1598-6446 2005-4092 |
| DOI | 10.1007/s12555-020-0129-y |
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| Abstract | This paper studies the
H
∞
filtering problem of stochastic linear systems subject to Markovian jump and multiplicative noise. The transition probabilities are considered to be uncertain. A unified form of filters is constructed for both continuous-time and discrete-time stochastic systems. With the new decoupling technique for the coupling terms between Lyapunov matrices and filtering parameters, sufficient conditions of stochastic stability and
H
∞
performance of filtering error system are derived. Based on these conditions, the filter is designed with less coupling matrices and the filter gain matrices are obtained by calculating a set of linear matrix inequalities. Finally, three examples are presented to test the effectiveness of the obtained method. |
|---|---|
| AbstractList | This paper studies the H∞ filtering problem of stochastic linear systems subject to Markovian jump and multiplicative noise. The transition probabilities are considered to be uncertain. A unified form of filters is constructed for both continuous-time and discrete-time stochastic systems. With the new decoupling technique for the coupling terms between Lyapunov matrices and filtering parameters, sufficient conditions of stochastic stability and H∞ performance of filtering error system are derived. Based on these conditions, the filter is designed with lesscoupling matrices and the filter gain matrices are obtained by calculating a set of linear matrix inequalities. Finally, three examples are presented to test the effectiveness of the obtained method. KCI Citation Count: 17 This paper studies the H ∞ filtering problem of stochastic linear systems subject to Markovian jump and multiplicative noise. The transition probabilities are considered to be uncertain. A unified form of filters is constructed for both continuous-time and discrete-time stochastic systems. With the new decoupling technique for the coupling terms between Lyapunov matrices and filtering parameters, sufficient conditions of stochastic stability and H ∞ performance of filtering error system are derived. Based on these conditions, the filter is designed with less coupling matrices and the filter gain matrices are obtained by calculating a set of linear matrix inequalities. Finally, three examples are presented to test the effectiveness of the obtained method. This paper studies the H∞ filtering problem of stochastic linear systems subject to Markovian jump and multiplicative noise. The transition probabilities are considered to be uncertain. A unified form of filters is constructed for both continuous-time and discrete-time stochastic systems. With the new decoupling technique for the coupling terms between Lyapunov matrices and filtering parameters, sufficient conditions of stochastic stability and H∞ performance of filtering error system are derived. Based on these conditions, the filter is designed with less coupling matrices and the filter gain matrices are obtained by calculating a set of linear matrix inequalities. Finally, three examples are presented to test the effectiveness of the obtained method. |
| Author | Liu, Xi-Kui Li, Yan Zhuang, Ji-Jing |
| Author_xml | – sequence: 1 givenname: Xi-Kui surname: Liu fullname: Liu, Xi-Kui organization: College of Mathematics and Systems Science, Shandong University of Science and Technology – sequence: 2 givenname: Ji-Jing surname: Zhuang fullname: Zhuang, Ji-Jing organization: College of Mathematics and Systems Science, Shandong University of Science and Technology – sequence: 3 givenname: Yan orcidid: 0000-0001-7491-759X surname: Li fullname: Li, Yan email: liyanhd@163.com organization: College of Electrical Engineering and Automation, Shandong University of Science and Technology |
| BackLink | https://www.kci.go.kr/kciportal/ci/sereArticleSearch/ciSereArtiView.kci?sereArticleSearchBean.artiId=ART002732927$$DAccess content in National Research Foundation of Korea (NRF) |
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| Snippet | This paper studies the
H
∞
filtering problem of stochastic linear systems subject to Markovian jump and multiplicative noise. The transition probabilities are... This paper studies the H∞ filtering problem of stochastic linear systems subject to Markovian jump and multiplicative noise. The transition probabilities are... |
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| SubjectTerms | Control Control Theory and Applications Coupling Decoupling method Discrete time systems Engineering Filtration H-infinity control Linear matrix inequalities Linear systems Mathematical analysis Mechatronics Robotics Stochastic systems Transition probabilities 제어계측공학 |
| Title | H∞ Filtering for Markovian Jump Linear Systems with Uncertain Transition Probabilities |
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