Motivated by previously published results, the computation of upper covariance bounds for perturbed linear systems is considered. It is shown that, for a wide choice of cost functions, the bound optimization problem is convex with respect to a scalar parameter. The analysis hinges on the properties of a H(infinity)-type Riccati equation.
ON THE COMPUTATION OF UPPER COVARIANCE BOUNDS FOR PERTURBED LINEAR-SYSTEMS
DE NICOLAO, GIUSEPPE
1994-01-01
Abstract
Motivated by previously published results, the computation of upper covariance bounds for perturbed linear systems is considered. It is shown that, for a wide choice of cost functions, the bound optimization problem is convex with respect to a scalar parameter. The analysis hinges on the properties of a H(infinity)-type Riccati equation.File in questo prodotto:
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