Design of a compensation for an ARMA model of a discrete time system

The design of an optimal dynamic compensator for a multivariable discrete time system is studied. Also the design of compensators to achieve minimum variance control strategies for single input single output systems is analyzed. In the first problem the initial conditions of the plant are random variables with known first and second order moments, and the cost is the expected value of the standard cost, quadratic in the states and controls. The compensator is based on the minimum order Luenberger observer and it is found optimally by minimizing a performance index. Necessary and sufficient conditions for optimality of the compensator are derived. The second problem is solved in three different ways; two of them working directly in the frequency domain and one working in the time domain. The first and second order moments of the initial conditions are irrelevant to the solution. Necessary and sufficient conditions are derived for the compensator to minimize the variance of the output.