An improved covariance assignment theory for discrete systems
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For discrete systems, the set of all state covariances X which can be assigned to the closed-loop system via a dynamic controller is characterized explicitly. For any assignable state covariance X, the set of all controllers that assign this X to the closed-loop system is parameterized with an arbitrary orthonormal matrix U of proper dimension. Both the results and their proofs in this note are much simpler than those presented before [1]. 1992 IEEE