Robust H2 filtering for uncertain linear systems:: LMI based methods with parametric Lyapunov functions

This paper addresses the design of robust H-2 filters for linear continuous-time systems subject to parameter uncertainty in the state-space model. The uncertain parameters are supposed to belong to a given convex bounded polyhedral domain. Two methods based on parameter-dependent Lyapunov functions are proposed for designing linear stationary asymptotically stable filters that assure asymptotic stability and a guaranteed H-2 performance, irrespective of the uncertain parameters. The proposed filter designs are given in terms of linear matrix inequalities which depend on a scalar parameter that should be searched for in order to optimize the filter performance. (C) 2004 Elsevier B.V. All rights reserved.