On robust filtering for linear systems with parameter uncertainty

This paper deals with the problems of robust H_∞ and H₂ 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_∞ filtering, the authors are concerned with designing a linear filter that guarantees a prescribed level for the induced L₂-norm of the operator from the noise signals to the filtering error irrespective of the uncertainty. The robust H₂ filtering problem addressed is the design of a linear filter which yields an optimized bound on the estimation error variance for all allowed uncertainty