Average reachability of continuous-time Markov jump linear systems and linear Markovian state observers

Stability of state estimators for Markov jump linear systems featuring time-varying and correlated noise processes are studied in this paper. Three conditions for stability are presented, starting with a more general one requiring positiveness of the covariance of the error estimate, and is applicable to a class of filters that contains the well known linear minimum mean square estimators. It is then derived a more strict condition based on the plant parameters only, which may be interpreted as requiring that the state additive noise pervades every system dynamics. Finally, we consider a structural notion linked with the reachability gramian and we show it is a sufficient condition for the previous ones to be fulfilled, thus linking the filter stability with the structure of the plant, and present a simple rank test. Illustrative examples are included.

• Autores: Narvaez Alfredo, Roa Rafael; Costa, Eduardo Fontoura
• Tipo de recurso: http://purl.org/coar/resource_type/c_f744
• Fecha de publicación: 2018
• Institución: Corporación Universidad de la Costa
• Repositorio: REDICUC - Repositorio CUC
• Idioma: eng
• OAI Identifier: oai:repositorio.cuc.edu.co:11323/1672
• Acceso en línea: https://hdl.handle.net/11323/1672; https://repositorio.cuc.edu.co/
• Palabra clave: Additive noise; Linear systems; Markov processes; State estimation
• Rights: openAccess
• License: Atribución – No comercial – Compartir igual