Based on the game theory and LQG optimal control theory, the mini-max robust filtering is presented, which can minimize the filtering errors under the disturbance of uncertain noises.

• 根据博弈理论与最优控制理论,提出一种能够在具有不确定噪声干扰中最小化滤波误差的极小极大值鲁棒滤波器。