Based on the basic definition of stochastic stability, stability problem of singular random system is investigated,
and a sufficient condition for how to estimate a given singular random system to satisfy the robust H∞ performance is
analyzed. Therefore, a method is proposed to solve the problem of filter design. Firstly, for the condition of the error of state
estimation which satisfies the robust h∞ performance, a method of designing the filter is presented, which has the same
framework with the Kalman filter. Then, for the condition of system structure with uncertainties, a relevant result is given.
Finally, numerical examples are given and coefficients are also computed, and the results verify the accuracy and efficiency
of the proposed method.