CONSTRAINED VARIANCE DESIGN FOR BILINEAR STOCHASTIC CONTINUOUS SYSTEMS

Recently, a theory for the control of covariance has been introduced for linear continuous systems. The theory was motivated mainly by the fact that performance requirements of many engineering control problems are naturally described in terms of the root-mean-squared (RMS) values of the system states or outputs. However, the primary purpose of this paper is to deal with the theory of covariance control for a general class of bilinear stochastic continuous systems. Moreover, on the basis of the theory of the state covariance assignment, this paper will address a methodology which deals more directly with these RMS values.