Robust H∞ filtering for singular time‐delayed systems with uncertain Markovian switching probabilities

SUMMARY This paper is concerned with the robust H ∞ filter design for a class of uncertain singular time‐delayed Markovian jump systems, whose transition rate matrix has elementwise bounded uncertainties. By the LMI approach, a novel bounded real lemma is proposed such that the singular Markovian jump system is robustly exponentially mean‐square admissible with a prescribed H ∞ performance index. Based on this, a sufficient condition for the existence of a robust H ∞ filter is developed in terms of LMIs. Finally, a numerical example is provided to show the effectiveness of the theoretical results.