Control of randomly varying systems with prescribed degree ofstability

The control of linear discrete-time systems with stochastic parameter matrices is discussed. Two control techniques are particularly used: infinite-horizon and finite-moving-horizon optimal regulators. It is shown that it is possible to design controllers with a guaranteed degree of exponential stochastic stability by properly modifying the performance indexes. In this way, the deterministic regulator problem with a prescribed degree of stability is extended to the case of stochastic parameter systems