Optimal Observer Design for Continuous‐Time Markovian Jump Systems With Sampled Switching Signals

ABSTRACT This paper addresses the optimal observer design problem of continuous‐time Markovian jump systems with sampled signals. A new observer deeply depending on mode separations is developed to deal with its sampled switching signals, which overcomes the difficulties of sampled and nonsampled signals contained simultaneously. Compared with the traditional methods, not only the wider application scope but also less conservatism can be ensured. Moreover, a novel optimization problem about mode separations is proposed to give the best mode separation, whose locally optimal solution can be obtained by employing the DDPG algorithm. Compared with the existing method without any optimization, the observer performance can be further improved in terms of lower energy consumption. A numerical simulation is conducted to verify the utility and superiority of the proposed methods.