Direct variance design-a multiobjective control theory

A theory for designing linear state feedback controllers to directly accommodate variance constraints imposed on the system states is offered. Such controllers guarantee an average closed-loop response to Gaussian input disturbances. The method provides a mechanism for directly assigning all variance values (the diagonal elements of the covariance matrix) to the closed-loop system. The theory may be viewed as offering direct access to a new set of design variables: the state variances