Unbiased H∞ filtering for neutral Markov jump systems

The unbiased H∞ filtering problem is studied for stochastic Markov jump system with constant and neutral time-delays. By re-constructing the system, the dynamic filtering error characteristics of unknown inputs and time-delays are obtained. A sufficient condition is initially established on the existence of mode-dependent unbiased H∞ filter of constant time-delay system using stochastic Lyapunov–Krasovskii function. Then, the unbiased H∞ filter is also designed for the jump system with constant and neutral time-delays. The design criterions are presented in the form of linear matrix inequality. Finally, the unbiased H∞ filtering problems are described as optimization algorithms. Numerical examples illustrate the effectiveness of the developed techniques.