A method of designing a generalized minimum variance self-tuning controller with a special pole-zero assignment technique for setpoint tracking and disturbance rejection is presented. Both minimum phase and non-minimum phase systems are considered to achieve perfect and imperfect setpoint tracking and disturbance rejection, respectively. The problem of matching unity inH∞-norm space is discussed, and a new method to match unity in another sense is developed. With parameter identification, an on-line self-tuning algorithm with the property of setpoint tracking and disturbance rejection is proposed. The effectiveness of the algorithm is shown by an example.