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Reachability and controllability analysis of the state covariance for linear stochastic systems
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DOI：10.1016/j.automatica.2026.113036.png)
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Abstract
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This paper studies the set of terminal state covariances that are reachable over a finite time horizon from a given initial state covariance for a linear stochastic system subject to additive noise. For discrete-time systems, a complete characterization of the set of reachable state covariances is given. For continuous-time systems, we present an upper bound on the set of reachable state covariances. Moreover, for both linear discrete-time and continuous-time systems, necessary and sufficient conditions are provided for the controllability of the state covariance over a finite horizon.
Keywords:
state covariance
reachability
controllability
linear stochastic systems
finite time horizon
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5.9
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1.1W
Citations:
5.2W
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