Title :
On the computation of upper covariance bounds for perturbed linear systems
Author :
Bolzern, Paolo ; Colaneri, P. ; De Nicolao, G.
Author_Institution :
Dipartimento di Elettronica e Inf., Politecnico di Milano, Italy
fDate :
3/1/1994 12:00:00 AM
Abstract :
Motivated by previously published results, the computation of upper covariance bounds for perturbed linear systems is considered. It is shown that, for a wide choice of cost functions, the bound optimization problem is convex with respect to a scalar parameter. The analysis hinges on the properties of a H∞-type Riccati equation
Keywords :
Lyapunov methods; linear systems; optimisation; H∞-type Riccati equation; bound optimization problem; cost functions; perturbed linear systems; upper covariance bounds; Control systems; Cost function; Covariance matrix; Differential equations; Eigenvalues and eigenfunctions; Fasteners; Linear systems; Riccati equations; Uncertainty; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
