H∞ observer design for stochastic time-delayed systems with Markovian switching under partly known transition rates and actuator saturation

The paper deals with the problem of H∞ observer design for stochastic time-delayed systems with Markovian switching under partly known transition rates and actuator saturation. Firstly, by use of appropriate Lyapunov function, sufficient conditions for stochastic stability of the closed-loop stochastic time-delayed Markovian switching systems with partly known transition rates and actuator saturation are proposed. Then, H∞ performance of the system considered is analyzed. Based on the obtained results, an observer is constructed such that the closed-loop system is stochastically stable with H∞ performance and the domain of attraction is expanded. All the proposed conditions are derived in the form of linear matrix inequalities (LMIs). Finally, a numerical example is given to demonstrate the validity of the main results.