H∞ Gaussian filter on infinite time horizon

Addresses design of H_∞ Gaussian filters on infinite time horizon. In particular, we are interested in the robust filter design in a Gaussian noisy environment for a target plant which is subject to model uncertainty. The proposed filter can be treated as a natural extension of the Kalman filter for plants with model uncertainty in their worst cases. It is shown that the design can be done by solving a set of coupled algebraic Riccati equations. It is claimed that the resulting filter captures a trade-off between H_∞ and H ₂ (Kalman) filters