H ∞ filtering for Markovian jump linear systems (Q4804963)

The problem of \(H_\infty\) filtering for continuous-time linear systems with Markovian jump is investigated. More precisely, the problem, addressed here, is the design of a Markovian jump linear filter for Markovian jump linear systems which provides a mean-square stable estimation error dynamics and a prescribed bound on the \(L_2\)-induced gain from the noise signals to the estimation error. A class of continuous-time Markovian jump linear systems is considered under the assumption that the jumping parameter is accessible. Necessary and sufficient conditions in terms of linear matrix inequalities (LMIs) are developed for solving this \(H_\infty\) filtering problem. In the case where there is no jump in the system, the proposed result provides an LMI-based methodology for designing an \(H_\infty\) filter for a linear system with nonzero initial conditions.