H-infinity filtering for non-linear stochastic Markovian jump systems

作者：Lin Z^*; Lin Y; Zhang W

来源：IET Control Theory and Applications, 2010, 4(12): 2743-2756.

DOI：10.1049/iet-cta.2009.0393

This study deals with the H-infinity filtering problem for a class of non-linear stochastic Markovian jump systems (NSMJS) as to both accessible and non-accessible jumping parameters cases. For this class of systems with measurable Markovian jumping parameters, sufficient conditions are expressed for the non-linear stochastic H-infinity and mixed H-2/H-infinity filtering design in terms of a set of N-, 2N-coupled Hamilton-Jacobi inequalities (HJIs), respectively. On the other hand, as to the non-accessible jumping parameters case, a fault-tolerant H-infinity filter is introduced for NSMJS with a jump detection and identification scheme, which is determined by a set of N x M-coupled HJIs. Finally, a numerical example is given to show the usefulness of the results derived.

• 单位
  北京大学; 山东大学