Summary
This paper solves the finite‐time fault estimation (FE) and fault‐tolerant control (FTC) problem for discrete‐time Markov jump systems with actuator and sensor faults. A new extended state system is constructed by taking the fault as a state. For this system, a novel observer is shown to estimate states, actuator and faults of considered systems, simultaneously. Based on the utilized estimation, a fault‐tolerant controller is proposed to ensure the finite‐time boundedness of closed‐loop ones with H∞$$ {H}_{\infty } $$ performance. The feasibility of the proposed finite‐time FE and FTC scheme is illustrated based on a simulation example.