Optimal H_∞ filtering for singular Markovian jump systems

This paper considers H_∞ filtering for continuous-time singular Markovian jump systems (SMJSs). While the existing researches in the literature suggested only sufficient conditions in terms of strict or non-strict linear matrix inequalities (LMIs) for sub-optimal H_∞ filtering, this paper successfully derives a necessary and sufficient condition in terms of strict LMIs for optimal H_∞ filtering. First, the necessary and sufficient condition that guarantees the stochastic admissibility of the filtering error system is obtained in terms of matrix inequalities. To reformulate it into strict LMIs, the congruence transformation by specially designed matrices is used. Two numerical examples show the validity of proposed H_∞ filtering.