H2 and H∞ robust filtering for convex bounded uncertain systems

Investigates robust filtering design problems in H/sub 2/ and H/sub /spl infin// spaces for continuous-time systems subjected to parameter uncertainty belonging to a convex bounded-polyhedral domain. It is shown that, by a suitable change of variables, both designs can be converted into convex programming problems written in terms of linear matrix inequalities. The results generalize the ones available in the literature to date in several directions. First, all system matrices can be corrupted by parameter uncertainty and the admissible uncertainty may be structured. Then, assuming the order of the uncertain system is known, the optimal guaranteed performance H/sub 2/ and H/sub /spl infin// filters are proven to be of the same order as the order of the system. A numerical example illustrate the theoretical results.