H∞ filtering in linear systems, a variation of parameters approach

This paper provides a complete, direct derivation of the continuous time linear system H_∞ filter using a variation of parameters approach. Conditions, derived from the variational technique, which provide for filter existence, performance, and stability, are presented. These results are consistent with existing derivations using similar techniques. Here, the results also provide a simple relationship between the matrix Riccati equation for the filter gain calculation and the matrix Riccati equation for the bounded real lemma.