Finite horizon robust Kalman filter design

In this paper, we study the problem of finite horizon Kalman filtering for systems involving a norm-bounded uncertain block. A new technique is presented for robust Kalman filter design. This technique involves using multiple scaling parameters which can be optimized by solving a semidefinite program. The use of optimized scaling parameters leads to an improved design. Also proposed is a recursive design method which can be applied to real-time applications.