We consider a class of hybrid systems which is modelled by continuous-time linear systems with Markovian jumps in the parameters (LSMJP). We assume that only an output of the system is available, and therefore the values of the jump parameter are not known. It is desired to design a dynamic linear filter such that the closed loop system is mean square stable and minimizes the stationary expected value of the square error. We consider uncertainties on the parameters of the possible modes of operation of the system. A Linear Matrix Inequalities (LMI) formulation is proposed to solve the problem.
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