Assuming the noise from the composition of the white noise and non - white energy limited noise. H-infinity filter considers the worst condition of limited energy noise, but the influence of white noise was ignored. At the noise signal and the system norm based on the analysis, using the hybrid filter optimization index J as the optimization goal, and its physical meaning is given. Considering the merit and defect of the H-2 and H-infinity filter scheme, the filter by Riccati equation solution was established. A simulation example was shown at last.