New results on H∞ filtering for Markov jump systems with uncertain transition rates

In this paper, we study the H-infinity, filtering problem for a class of continuous-time Markov jump systems with time-varying uncertainties in transition rates, in which the uncertain transition rates are assumed to be affine parameter-dependent uncertainty models. By converting the affine parameter-dependent uncertainty models for transition rates into time-varying polytopic ones and using the Lyapunov function approach, a sufficient condition on the existence of an H-infinity filter is obtained in terms of a parameter dependent matrix inequality. Also, the parameter-dependent matrix inequality is converted into a set of parameter-free linear matrix inequalities which can be solved numerically. Illustrative examples are given to demonstrate the effectiveness and advantages of the approach. (C) 2017 ISA. Published by Elsevier Ltd. All rights reserved.