H∞ Filtering for Markov Jump Systems with Mixed Modes

In this study, H_infinity filtering problem for a class of stochastic Markov jump systems is investigated. The system mode is assumed to be different from the delay mode. The aim of this paper is to design a mode-dependent filter such that the filtering error system is stochastically stable and satisfies a prescribed disturbance attenuation level. By using a mode-dependent Lyapunov functional, mixed mode-dependent sufficient condition on stochastic stability is formulated in terms of linear matrix inequalities. Based on the stochastic stability criterion, an H_infinity filter is developed.