Parametric Co-variance Assignment for a Class of Multivariable Stochastic Uncertain Systems: Output Feedback Stabilization Approach

This paper presents a novel parametric co-variance assignment strategy for multi-variable stochastic uncertain systems. Based upon the explicit parametric design and reduced-order closed-form co-variance model, the variances and co-variances of the system outputs can be assigned artificially using output feedback while the effect of the system uncertainties can be minimized by optimizing the free parameters. In addition, the stability of the closed-loop system has been analyzed and an illustrative numerical example is given to demonstrate the effectiveness of the presented strategy. As a summary, the contributions of this paper include the reduced-order co-variance model, the co-variance error based performance criterion and the parametric control design with stability analysis.