Covariance control discrete systems
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Recently, a theory for the control of covariances was introduced for continuous systems. The theory satisfies two needs. First, the performance requirements of many engineering control problems are naturally stated in terms of the root-mean-squared (rms) values of the system states or outputs. A theory of covariance control could be used in the design of control laws to satisfy these objectives. Secondly, the use of covariances as a measure of performance appears in the various theories for estimation, identification, realization and model reduction. Thus, a theory for the concept of covariances may aid in integrating modeling and control problems.