Robust H/sub /spl infin// filtering with error variance constraints for uncertain discrete-time systems

Abstract

The robust H/sub /spl infin// filtering problem is considered for discrete-time systems subject to norm-bounded parameter uncertainties in both the state and the output matrices of the state-space model. Sufficient conditions for the filter to satisfy the prescribed H/sub /spl infin// performance and steady-state estimation error variance constraints are given in terms of two discrete algebraic Riccati inequalities. The filter obtained does not depend on the perturbation parameter which is assumed to be unmeasured. An example is provided to illustrate the use of the results for filter design.