Robust H∞ filtering for linear systems with parameter uncertainty

In this paper, the robust H_∞ filtering problem for linear systems with parameter uncertainty is reconsidered. First, based on bounded real lemma, a robust H_∞ filter is designed such that the induced L₂ norm of the transfer function from the noise signals to the estimation error is guaranteed to be within a prescribed bound for all the admissible uncertainties. Then, a constructive proof for the existence of a robust H_∞ filter is developed. Along the line of this paper, many new results on robust control and filtering can be derived easily.