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

This paper addresses the design of robust 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 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.