Covariance Control of Discrete Stochastic Bilinear Systems

This paper will characterize the covariances that certain bilinear stochastic discrete time systems may possess. An explicit parameterization of all controllers that assign such covariances is then given. The state feedback assignability and robustness of the system are then discussed from a deterministic point of view. This work will extend the theory of covariance control for continuous time bilinear systems to a discrete time setting.