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Type: Artigo de periódico
Title: On the observability and detectability of continuous-time Markov jump linear systems
Author: Costa, EF
Do Val, JBR
Abstract: The paper introduces a new detectability concept for continuous-time Markov jump linear systems with finite Markov space that generalizes previous concepts found in the literature. The detectability in the weak sense is characterized as mean square detectability of a certain related stochastic system, making both detectability senses directly comparable. The concept can also ensure that the solution of the coupled algebraic Riccati equation associated to the quadratic control problem is unique and stabilizing, making other concepts redundant. The paper also obtains a set of matrices that plays the role of the observability matrix for deterministic linear systems, and it allows geometric and qualitative properties. Tests for weak observability and detectability of a system are provided, the first consisting of a simple rank test, similar to the usual observability test for deterministic linear systems.
Subject: Markov jump systems
detectability and observability of stochastic systems
optimal control
stochastic systems
quadratic control
Country: EUA
Editor: Siam Publications
Citation: Siam Journal On Control And Optimization. Siam Publications, v. 41, n. 4, n. 1295, n. 1314, 2002.
Rights: aberto
Identifier DOI: 10.1137/S0363012901385460
Date Issue: 2002
Appears in Collections:Unicamp - Artigos e Outros Documentos

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