Upper and lower covariance bounds for perturbed linear systems
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Both upper and lower bounds are established for state covariance matrices under parameter perturbations of the plant. The motivation for this study lies in the fact that many robustness properties of linear systems are given explicitly in terms of the state covariance matrix. Moreover, there exists a theory for control by covariance assignment. Hence, the results herein provide robustness properties of these covariance controllers. 1990 IEEE