Abstract: Currently, widely used filtering methods such as wavelet and Kalman methods are not appropriate for filtering the non-white noise. According to the noise components of white part and limited energy part, the worst condition of limited energy noise was considered in H∞ filter, but the influence of white noise was ignored. Based on the norm analysis of noise signals and filter system, the mixed optimal control index J was chosen as the target index and its physical implication was discussed. Considering the merit and defect of the H2 and H∞ filter scheme, the filter by LMI convex optimal solution was established. A simulation example was shown at last.