Probabilistic reachable and invariant sets for linear systems with correlated disturbance

In this paper a constructive method to determine and compute probabilistic reachable invariant sets for linear discrete-time systems, excited by stochastic disturbance, is presented. The samples of the disturbance signal are not assumed be uncorrelated, only bounds on mean covariance matrices supposed known. This allows consider nonlinear systems approximations effect filters disturbance. correlation bound concept introduced employed sets. Constructive methods their computation, based convex optimization, given.