9  \(H_\infty\) filter

• The \(H_\infty\) filter is a more recent development (1980’s) than the Kalman filter (1990’s). It is focused on the industrial applications where both the system model and noise statistics are precisely unknown.

• Here, the uncertainty in system model and noise statistics were handled by a more generalized estimator, named as \(H_\infty\) filter.

• In detail description about the derivation, algorithm and additional topics in the \(H_\infty\) filter can be referred in Simon (2006). The focus is not on this topic for now.

Simon, Dan. 2006. Optimal State Estimation: Kalman, h Infinity, and Nonlinear Approaches. John Wiley & Sons.