Boundary covariance assignment for stochastic descriptor systems

Covariance control theory is applied to singular systems when the pencil is regular. The authors characterize the set of all boundary covariances that a stochastic discrete-time descriptor system may possess and parametrize the set of all static state feedback gains that assign them. Secondly, since such systems can be decoupled into slow and fast subsystems, the set of all state covariances assignable to the slow subsystem and the set of all feedback gains are derived.<>