Robust optimal filtering for continuous-time stochastic systems with polytopic parameter uncertainty

In this paper, robust H 2 optimal filtering is addressed for continuous-time stochastic systems with polytopic parameter uncertainty. A new robust stability condition is presented. A continuous-time robust H 2 optimal filter is obtained by solving a sufficient linear matrix inequality condition characterizing a solution of a robust minimum variance filtering problem which takes into account the polytopic type of model uncertainties. The proposed approach is demonstrated through numerical examples.