Robust Steady-State Filtering for Systems with Deterministic and Stochastic Uncertainties

F. Wang and V. Balakrishnan

IEEE Trans. Signal Processing, vol. 51, no. 10, pages 2550-2558, October 2003

Abstract: For uncertain systems containing both deterministic and stochastic uncertainties, we consider two problems of optimal filtering. The first is the design of a linear time-invariant filter that minimizes an upper bound on the mean energy gain between the noise affecting the system and the estimation error. The second is the design of a linear time-invariant filter that minimizes an upper bound on the asymptotic mean square estimation error when the plant is driven by a white noise with a unit power spectral density. We present filtering algorithms that solve each of these problems, with the filter parameters determined via convex optimization based on linear matrix inequalities. We demonstrate the performance of these robust algorithms on a numerical example consisting of the design of equalizers for a communication channel.

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