%0 Journal Article
%T Optimal guaranteed cost filtering for Markovian jump discrete-time systems
%A Magdi S. Mahmoud
%A Peng Shi
%J Mathematical Problems in Engineering
%D 2004
%I Hindawi Publishing Corporation
%R 10.1155/s1024123x04108016
%X This paper develops a result on the design of robust steady-state estimator for a class of uncertain discrete-time systems with Markovian jump parameters. This result extends the steady-state Kalman filter to the case of norm-bounded time-varying uncertainties in the state and measurement equations as well as jumping parameters. We derive a linear state estimator such that the estimation-error covariance is guaranteed to lie within a certain bound for all admissible uncertainties. The solution is given in terms of a family of linear matrix inequalities (LMIs). A numerical example is included to illustrate the theory.
%U http://www.hindawi.com/journals/mpe/2004/309749/abs/