Computational algorithm for covariance control: Discrete-time case
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A new controller design method for linear discrete-time systems is proposed via covariance assignment. The primary contributions of this paper are twofold. First, the set of all closed loop plant state covariances which a linear discrete-time system may possess is characterized. The set is shown to be convex. Secondly, a finite step algorithm for constructing an assignable plant state covariance is presented.