Robust stochastic filtering for linear continuous uncertain systems with time-varying parameters

The problem addressed is the filtering of the states of a time-varying linear system subject to random disturbances and parametric unstructured uncertainties. We give an upper bound on the performance index of the proposed filter defined as the expected squared estimation error. The filter has a Kalman structure with the gain being a function of free design parameters and of a solution to an artificially constructed Riccati equation.