Robust Estimation for Discrete-Time Markovian Jump Linear Systems

Abstract

This technical note deals with recursive robust estimation of Markov jump linear systems subject to unobserved chain state. It is developed an augmented system modeled via norm bounded uncertainties. Upper and lower bounds of an uncertain quadratic cost function are computed in order to define the variances of the augmented system. Numerical examples are provided to show the effectiveness of the proposed estimators.