Abstract
This paper addresses the problem of H/sub /spl infin// filtering for continuous-time linear systems with Markovian jumping parameters. The main contribution of the paper is to provide a method for designing an asymptotically stable linear time-invariant H/sub /spl infin// filter for systems where the jumping parameter is not accessible. The cases where the transition rate matrix of the Markov process is either exactly known, or unknown but belongs to a given polytope, are treated. The robust H/sub /spl infin// filtering problem for systems with polytopic uncertain matrices is also considered and a filter design method based on a Lyapunov function that depends on the uncertain parameters is developed. The proposed filter designs are given in terms of linear matrix inequalities.
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