Abstract: A closed-loop H_∞ filter algorithm based on the simplified adaptive control (SAC) method is improved by using the fixed integral variable. The filter enhances the dynamic tracking properties of the traditional H_∞ filters and ensures the stability of the algorithm. And the robustness principle of the new filter is also analyzed. The modeling simulation and the comparative analysis show that the proposed H_∞ filter can enhance dynamic character, reduce noise's sensibility and has higher accuracy than the normal H_∞ filters when there are modeling errors or when the stochastic characteristic of the system model is unknown.