Robust filtering of discrete-time linear systems with parameter dependent Lyapunov functions

Robust filtering of linear time-invariant discrete-time uncertain systems is investigated through a new parameter dependent Lyapunov matrix procedure. Its main interest relies on the fact that the Lyapunov matrix used in stability checking does not appear in any multiplicative term with the uncertain matrices of the dynamic model. We show how to use such an approach to determine high performance H/sub 2/ robust filters by solving a linear problem constrained by linear matrix inequalities (LMI). The results encompass the previous works in the quadratic Lyapunov setting. Numerical examples illustrate the theoretical results.

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