ON THE OBSERVABILITY AND DETECTABILITY OF LINEAR STOCHASTICSYSTEMS WITH MARKOV JUMPS AND MULTIPLICATIVE NOISE

Yuanhua NI;Weihai ZHANG;Haitao FANG

Journal of Systems Science & Complexity ›› 2010, Vol. 23 ›› Issue (1) : 102-115.

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Journal of Systems Science & Complexity ›› 2010, Vol. 23 ›› Issue (1) : 102-115. DOI: 10.1007/s11424-010-9270-7
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ON THE OBSERVABILITY AND DETECTABILITY OF LINEAR STOCHASTICSYSTEMS WITH MARKOV JUMPS AND MULTIPLICATIVE NOISE

  • Yuanhua NI(1);Weihai ZHANG(2);Haitao FANG(1)
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Abstract

This paper presents the notions of exact observability and exact detectability for Markov jump linear stochastic systems of It\^o type with multiplicative noise (for short, MJLSS). Stochastic Popov-Belevith-Hautus (PBH) Criterions for exact observability and exact detectability are respectively obtained. As an application,
stochastic H2/H∞ control for such MJLSS is discussed under exact detectability.

Key words

Exact detectability / exact observability / Markov jump systems / multiplicative noise / PBH Criterion / stochastic H2/H∞ control.

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Yuanhua NI , Weihai ZHANG , Haitao FANG. ON THE OBSERVABILITY AND DETECTABILITY OF LINEAR STOCHASTICSYSTEMS WITH MARKOV JUMPS AND MULTIPLICATIVE NOISE. Journal of Systems Science and Complexity, 2010, 23(1): 102-115 https://doi.org/10.1007/s11424-010-9270-7
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