H∞ estimation for discrete‐time linear uncertain systems

Abstract This paper is concerned with the problem of H ∞ estimation for linear discrete‐time systems with time‐varying norm‐bounded parameter uncertainty in both the state and output matrices. We design an estimator such that the estimation error dynamics is quadratically stable and the induced operator norm of the mapping from noise to estimation error is kept within a prescribed bound for all admissible uncertainties. A Riccati equation approach is proposed to solve the estimation problem and it is shown that the solution is related to two algebraic Riccati equations.