Reliability optimization for single-input linear stochastic systems

By combining reliability analysis techniques with the method of state covariance assignment for single-input systems, this paper proposes a new design method that finds both the assignable optimal covariance matrix that maximizes the reliability bounds and the optimal state feedback gains that assign the covariance matrix to the closed-loop system. Deadbeat control is proved to be optimal for certain classes of systems. Numerical solutions are introduced to extend the applications. The conjugate gradient method is used to solve the numerical optimization problem