Multiobjective filtering design

Motivated by the development of a time domain game approach for mixed /spl Hscr//sub 2///spl Hscr//sub /spl infin// characterization, the multiobjective filtering design problem is formulated and solved in both finite and infinite time domains, by combining the constrained optimization approach and the /spl Hscr//sub /spl infin// optimization approach. The resulting filters possess desired robust performance in a white noise environment. It is shown that the design can be done through solving a set of coupled Riccati differential or algebraic equations.