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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.>
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Edwin Engin Yaz (1988) studied this question.
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