Output Regulation of Linear Stochastic Systems: the Full-Information Case

The full information output regulation problem for linear stochastic systems is addressed. A general class of linear systems is considered, namely systems in which the state, control variable and exogenous variable may appear simultaneously in the drift term and in the diffusion term of the differential equation. Similarly, we consider a stochastic signal generator, thus allowing tracking and/or rejecting Brownian motions in addition to deterministic trajectories. In the paper we first characterize the steady-state response of the interconnection of the system with the signal generator and then we solve the full information output regulation problem. The results of the paper are illustrated by means of two examples. Finally a short discussion of the error feedback regulator problem concludes the paper.

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