A recursive construction algorithm for covariance control
This paper proposes an algorithm to compute a symmetric matrix satisfying a linear matrix equation and inequality arising in the design of stabilizing state covariance controllers. The algorithm generates analytical solutions in a recursive manner which makes it essentially different from other computational methods pertinent to this problem, such as convex programming. As a result, the algorithm does not involve the issue of convergence and terminates in an a priori known finite number of steps (which is no more than the order of the system). Thus, the computational complexity is expected to be much less than that of the other methods.
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- Alternating convex projection methods for discrete-time covariance control design
- Three algorithms to compute covariance matrices: Comparison of their computational complexity
- On the observer-based structure of covariance controllers
- Alternating convex projection methods for discrete-time covariance control design
- scientific article; zbMATH DE number 5190527 (Why is no real title available?)
- Alternating convex projection methods for covariance control design
- scientific article; zbMATH DE number 2048374 (Why is no real title available?)
- Covariance analysis algorithm for interconnected systems
- Three algorithms to compute covariance matrices: Comparison of their computational complexity
- Control systems approach to the sample inverse covariance matrix
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