Finite-time ℋ∞ filtering for Markov jump systems with uniform quantization

Abstract

This paper is concerned with finite-time ℋ ∞ filtering for Markov jump systems with uniform quantization. The objective is to design quantized mode-dependent filters to ensure that the filtering error system is not only mean-square finite-time bounded but also has a prescribed finite-time ℋ ∞ performance. First, the case where the switching modes of the filter align with those of the MJS is considered. A numerically tractable filter design approach is proposed utilizing a mode-dependent Lyapunov function, Schur’s complement, and Dynkin’s formula. Then, the study is extended to a scenario where the switching modes of the filter can differ from those of the MJS. To address this situation, a mode-mismatched filter design approach is developed by leveraging a hidden Markov model to describe the asynchronous mode switching and the double expectation formula. Finally, a spring system model subject to a Markov chain is employed to validate the effectiveness of the quantized filter design approaches.