In this paper, the mobile robot localization problem is investigated under the stochastic communication protocol (SCP). In the mobile robot localization system, the measurement data including the distance and the azimuth are received by multiple sensors equipped on the robot. In order to relieve the network burden caused by network congestion, the SCP is introduced to schedule the transmission of the measurement data received by multiple sensors. The aim of this paper is to find a solution to the robot localization problem by designing a time-varying filter for the mobile robot such that the filtering error dynamics satisfies the H∞ performance requirement over a finite horizon. First, a Markov chain is introduced to model the transmission of measurement data. Then, by utilizing the stochastic analysis technique and completing square approach, the gain matrices of the desired filter are designed in term of a solution to two coupled backward recursive Riccati equations. Finally, the effectiveness of the proposed filter design scheme is shown in an experimental platform.