Reduced-order filtering with energy-to-peak performance for discrete-time Markovian jumping systems

In this paper, the l₂–l (energy-to-peak) performanceof the discrete-time Markovian jump linear system is investigated.The jump parameters are modelled by a discrete-time Markov process.Furthermore, we study the l₂–l reduced-order filteringproblem for the Markovian jump linear system. A reduced-orderfilter with the same randomly jumping parameters is proposedwhich can make the error systems with Markovian jump parametersstochastically stable with a prescribed l₂–lperformance.Sufficient conditions in terms of linear matrix inequalities(LMIs) and a coupling non-convex rank constraint are derivedfor the existence of a solution to the reduced-order filteringproblems. A numerical example is given to illustrate the designprocedures.