Nonlinear filtering for state delayed systems with Markovian switching

Abstract

This paper deals with the filtering problem for a general class of nonlinear time-delay systems with Markovian jumping parameters. The nonlinear time-delay stochastic systems may switch from one to the others according to the behavior of a Markov chain. The purpose of the problem addressed is to design a nonlinear full-order filter such that the dynamics of the estimation error is guaranteed to be stochastically exponentially stable in the mean square. Both filter analysis and synthesis problems are investigated. Sufficient conditions are established for the existence of the desired exponential filters, which are expressed in terms of the solutions to a set of linear matrix inequalities (LMIs). The explicit expression of the desired filters is also provided. A simulation example is given to illustrate the design procedures and performances of the proposed method.