Robustness of covariance controllers for discrete systems

Many types of performance and stability robustness are shown to be directly related to properties of the closed-loop covariance matrix. Such robustness properties include: robustness to uncertain disturbances, to uncertain structured parameters, to uncertain unstructured parameters, and to L/sub infinity / performance requirements. Covariance controllers assign a specified covariance matrix to the closed-loop system. Hence, they can deliver a prescribed degree of robustness with respect to disturbance rejection and structured and unstructured parameter changes.<>