New algorithm for robust H2/H∞ filtering with error variance assignment

We consider the robust H2/H∞ filtering problem for linear perturbed systems with steady-state error variance assignment. The generalized inverse technique of matrix is introduced, and a new algorithm is developed. After two Riccati equations are solved, the filter can be obtained directly, and the following three performance requirements are simultaneously satisfied: The filtering process is asymptotically stable; the steady-state variance of the estimation error of each state is not more than the individual prespecified upper bound; the transfer function from exogenous noise inputs to error state outputs meets the prespecified H∞ norm upper bound constraint. A numerical example is provided to demonstrate the flexibility of the proposed design approach.