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This paper addresses the problem of robust linear relay precoder and destination equalizer design for a dual-hop amplify-and-forward (AF) multiple-input multiple-output (MIMO) relay system, with Gaussian random channel uncertainties in both hops. By taking the channel uncertainties into account, two robust design algorithms are proposed to minimize the mean-square error (MSE) of the output signal at the destination. One is an iterative algorithm with its convergence proved analytically. The other is an approximated closed-form solution with much lower complexity than the iterative algorithm. Although the closed-form solution involves a minor relaxation for the general case, when the column covariance matrix of the channel estimation error at the second hop is proportional to identity matrix, no relaxation is needed and the proposed closed-form solution is the optimal solution. Simulation results show that the proposed algorithms reduce the sensitivity of the AF MIMO relay systems to channel estimation errors, and perform better than the algorithm using estimated channels only. Furthermore, the closed-form solution provides a comparable performance to that of the iterative algorithm.