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Chapter 3 Parameter-Dependent Robust Filter Design In Chap. 2, quadratic approaches to the design of robust filters have been presented. Numerical results have shown that the quadratic approaches are able to design filters with a guaranteed H2 , H∞ or energy-to-peak filtering performance level. However, as pointed out at the end of Chap. 2, for a filter designed by the quadratic approach, the gap of the guaranteed filtering performance cost and the actual filtering performance bound is sometimes tremendous. This results from the inherent conservatism of the notion of quadratic stability, that is, a single Lyapunov matrix has to be fixed over the entire uncertainty domain. To reduce the conservatism of the quadratic approaches, in this chapter, we will consider parameter-dependent approaches to robust H2 and H∞ filters design. New H2 and H∞ performance criteria are first developed by introducing slack matrices into the standard criteria presented in Chap. 2. Filter realization conditions in the generic parameter-dependent form are then derived by imposing special structure on the slack matrices in the new filtering analysis results. In the sequel, we will focus on two special parameter-dependence forms such that the parameter-dependent condi- tions for filter realizations are well converted into LMIs. Finally, several numerical examples will be provided to demonstrate the effectiveness and advantages of the parameter-dependent methods. In the first type of the parameter-dependent form, slack matrices are fixed over the entire uncertainty domain while “Lyapunov” matrices are linearly parameter- dependent, which results in the linearly parameter-dependent approaches to robust filter design. To make full use of the parameter-dependent idea, in the second type of the parameter-dependence form, all the “Lyapunov” matrices and part of the slack matrices are in the general homogeneous polynomial parameter-dependence form with a prescribed degree, whic