Comparison of Kalman filter, H∞ filter and robust mixed Kalman/H∞ filter

The H_∞ filter and the robust mixed Kalman/H_∞ filter is presented for discrete time-varying systems subject to model uncertainty over a finite horizon and a infinite horizon. The performance comparison of Kalman filter, H_∞ filter and robust mixed Kalman/H_∞ filter in a scalar system without model uncertainty is demonstrated though an example. In another example, the influence of the parameter to the filter is considered.