Improved H_∞ filtering for continuous Markov jump linear systems

This paper investigates the problem of H_∞ filter design for a class of continuous Markov jump linear systems (MJLSs) with no-accessible jump mode. A new version of bound real lemma (BRL) which can guarantee the performance and the stochastically stability for MJLSs is proposed. Then, based on the BRL, a new approach for H_∞ filtering is given. Compared with the existing design methods, more slack variables, which could lead to reduce conservativeness and give better H_∞ performance, are introduced in the proposed approach. Furthermore, the whole design procedure can be accomplished by solving a set of linear matrix inequalities (LMIs). Finally, the effectiveness of the proposed H_∞ filtering approach can be illustrated by numerical examples.