Stochastic interpretation of H/sub /spl infin// and robust estimation

H/sub /spl infin// and robust estimation methods are discussed from a deterministic as well as a stochastic point of view. The relationship between H/sub /spl infin// and risk sensitivity for systems with known plant dynamics is reviewed. This relationship is extended to the more general case of estimators that are robust to noise and plant model uncertainties. Specifically, it is shown that a stochastic equivalent to the robust H/sub /spl infin// estimator exists. An example is used to compare the estimators in the deterministic sense, using the frequency response of the transfer function between the inputs and the error, as well as in the stochastic sense, using the probability density function of the output error residual.<>