Nonlinear H ∞ filtering for interconnected Markovian jump systems

Abstract The problem of nonlinear H ∞ filtering for interconnected Markovian jump systems is discussed. The aim of this note is the design of a nonlinear Markovian jump filter such that the resulting error system is exponentially meansquare stable and ensures a prescribed H ∞ performance. A sufficient condition for the solvability of this problem is given in terms of linear matrix inequalities(LMIs). A simulation example is presented to demonstrate the effectiveness of the proposed design approach.