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Parametrization of all linear compensators for discrete-time stochastic parameter systems. (English) Zbl 0799.93039

Summary: For discrete-time stochastic parameter systems, this paper presents a characterization of all state covariances assignable by a linear controller and a parametrization of all controllers that achieves a desired covariance. These results indirectly provide the parametrization of all linear fixed-order compensators which are mean square stabilizing for this class of systems. The paper also includes robustification of the derived compensators and an example to illustrate the results.

MSC:

93C55 Discrete-time control/observation systems
91A60 Probabilistic games; gambling
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