H_∞ Estimation for Linear Discrete-Time Markovian Jump Systems by Game Theoretic Approach

Abstract

In this paper we study the H_∞ state estimation problems for a class of linear discrete-time Markovian jump systems. We adopt a game theoretic approach and stochastic variational calculus method to derive estimates and forms of dynamic estimators on the fixed time interval. The necessary and sufficient conditions for the solvability of the H_∞ state estimation problems are given by the coupled Riccati difference equations with initial conditions.