On the theory of state-covariance assignment for single-input linear discrete systems

An alternative method for state-covariance assignment for discrete single-input linear systems is proposed. This method is based on the inverse solution of the Lyapunov equation, and the resulting formulas are similar in structure to the formulas for pole placement. Further, the set of all covariance matrices assignable to a single-input discrete system is also characterized. The proposed method is illustrated by a numerical example.<
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