Robust Kalman Filter Design for Discrete-Time Systems with Markovian Jumping Parameters
نویسنده
چکیده
In this paper, the robust Kalman filtering problem for uncertain discretetime linear systems with hlarkovian jumping parameters is addressed. It is assumed that the information about the jumping parameters is available, and the uncertainties are formulated by linear fractional transformation. We propose two methods for designing Markovian jumping filters so that the covariance of estimation error is bounded above. The main results are presented via a set of algebraic Fiiccati equations and a set of linear matrix inequalities.
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