On Robust H2 Estimation

The problem of state estimation for uncertain systems has attracted a recurring interest in the past decade. In this paper, we shall give an overview on some of the recent development in the area by focusing on the robust H2 (Kaiman) filtering of uncertain discrete-time systems. The robust H2 estimation is concerned with the design of a fixed estimator for a family of plants under consideration such that the estimation error covariance is of a minimal upper bound. The uncertainty under consideration includes norm-bounded uncertainty and polytopic uncertainty. In the finite horizon case, we shall discuss a parameterized difference Riccati equation approach for systems with normbounded uncertainty and pinpoint the difference of state estimation between systems without uncertainty and those with uncertainty. In the infinite horizon case, we shall deal with both the norm-bounded and polytopic uncertainties using a linear matrix inequality (LMI) approach. In particular, we shall demonstrate how the conservatism of design can be improved using a slack variable technique. We also propose an iterative algorithm to refine a designed estimator. An example will be given to compare estimators designed using various techniques.