This squat building is a 1730 twin-towered extension of the plateau's vast complex of Vauban fortifications. It has an interesting museum about Luxembourg's historic defences and also hosts changing exhibitions. If the relevant door is open, climb up onto the roof for an original view back towards Mudam's glass-roofed wings.
From here it's possible to return downtown on foot. Walk steeply downhill between further bastions, tunnel through Fort Obergrünwald, then turn left (easily missed) and descend a long zigzag stairway. You emerge across the railway viaduct from the youth hostel.