L2-L∞ filtering for stochastic Markov jump systems with uncertain transition probabilities

The paper has studied the L2-L∞ filtering problem for stochastic Markov jump systems with uncertain transition probabilities. These systems include uncertainties both in the transition probabilities and system parameters, while the parameter uncertainties satisfy norm bounded conditions. The Lyapunov-Krasovskii function is processed by convex analysis, and free weighting matrix are introduced to solve the stability problem of the filtering error systems. Finally, a numerical example is given to illustrate the feasibility and effectiveness of the proposed method.