Robust Kalman filtering problems for discrete-time Markovian jump systems with parameter and noise uncertainty were investigated. Because of the existence of stochastic Markovian switching, the covariance matrices of system state noise and observation noise are time-varying or unmeasurable instead of stationary, meanwhile the system suffers from structure parameter uncertainty as well. By view ...

We present a novel approach to inference in conditionally Gaussian continuous time stochastic processes, where the latent process is a Markovian jump process. We first consider the case of jump-diffusion processes, where the drift of a linear stochastic differential equation can jump at arbitrary time points. We derive partial differential equations for exact inference and present a very effici...

This paper deals with the problem of stochastic optimal control for a class of nonlinear systems subject to Markovian jump parameters. The nonlinearities in the different jump modes are initially parameterized by multilayer neural networks (MNNs), which lead to neural Markovian jump systems. A stochastic neural Lyapunov function (NLF) is used to analyze the stability of the resulting neural con...

This paper deals with the robust -control of discrete-time L# Markovian jump linear systems. It is assumed that both the state and jump variables are available to the controller. Uncertainties satisfying some norm bounded conditions are considered on the parameters of the system. An upperbound for the -control L# problem is derived in terms of an LMI optimization problem. For the case in which ...

The connection between linear dynamically varying (LDV) systems and jump linear systems is explored. LDV systems have been shown to be useful in controlling systems with "complicated dynamics". Some systems with complicated dynamics, for example Axiom A systems, admit Markov partitions and can be described, up to finite resolution, by a Markov chain. In this case, the control system for these s...

This paper deals with the problem of H∞ filtering for discrete-time Markovian jump linear systems. Predicted and filtered recursive estimates are obtained based on the game theory. In this paper, it is assumed that the jump parameter is not accessible. A numerical example is provided in order to show the effectiveness of the approach proposed.

This paper is concerned with delay-dependent exponential stability analysis and stabilization for continuous-time T-S fuzzy Markovian jump systems with mode-dependent time-varying delay. By constructing a novel Lyapunov-Krasovskii functional and utilizing some advanced techniques, less conservative conditions are presented to guarantee the closed-loop system is mean-square exponentially stable....

In this note, we provide a unified framework for the mean square stability of stochastic jump linear systems via optimal transport. The Wasserstein metric known as an optimal transport, that assesses the distance between probability density functions enables the stability analysis. Without any assumption on the underlying jump process, this Wasserstein distance guarantees the mean square stabil...