Robust H2/H∞-state estimation for systems with error variance constraints: the continuous-time case

The paper is concerned with the state estimator design problem for perturbed linear continuous-time systems with H_∞ norm and variance constraints. The perturbation is assumed to be time-invariant and norm-bounded and enters into both the state and measurement matrices. The problem we address is to design a linear state estimator such that, for all admissible measurable perturbations, the variance of the estimation error of each state is not more than the individual prespecified value, and the transfer function from disturbances to error state outputs satisfies the prespecified H_∞ norm upper bound constraint, simultaneously. Existence conditions of the desired estimators are derived in terms of Riccati-type matrix inequalities, and the analytical expression of these estimators is also presented. A numerical example is provided to show the directness and effectiveness of the proposed design approach