All covariance controllers for linear discrete-time systems

Abstract

The authors characterize the set of covariances that a linear discrete-time plant with a specified-order controller can have. The controllers that assign such covariances to any linear discrete-time system are given explicitly in closed form. The freedom in these covariance controllers is explicit and is parameterized by two orthogonal matrices. By appropriately choosing these free parameters, additional system objectives can be achieved without altering the state covariance, and the stability of the closed-loop system is guaranteed.<>