Energy-to-Peak Filtering for Continuous-Time Markov Jump Linear Systems with Partial Information on the Jump Parameter

In this paper, we study the L
2
−L
∞
filtering, also known as energy-to-peak filtering, for continuous-time Markov jump systems considering that the Markov chain cannot be directly measured. In this context, the filter has only access to an observed process related to the main jump process of the plant by means of an exponential hidden Markov model. Sufficient conditions for the design of full-order filters which impose the desired upper bond on the L
2
−L
∞
ratio are given in terms of Linear Matrix Inequalities. The paper is illustrated by means of a numerical example.