On robust filtering for linear systems with parameter uncertainty

This paper deals with the problems of robust H/sub /spl infin// and H/sub 2/ filter design for linear systems with norm-bounded parameter uncertainty in all the matrices of the system state-space model, including the coefficient matrices of the noise signals. For the robust H/sub /spl infin// filtering, the authors are concerned with designing a linear filter that guarantees a prescribed level for the induced L/sub 2/-norm of the operator from the noise signals to the filtering error irrespective of the uncertainty. The robust H/sub 2/ filtering problem addressed is the design of a linear filter which yields an optimized bound on the estimation error variance for all allowed uncertainty.

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