A stabilizing controller for jump linear Gaussian systems with noisy state observations
The authors consider linear, discrete-time systems with Gaussian state and observation noise, for which all the system matrices depend on an underlying, finite state Markov chain with transition probability matrix \(\pi=(p_{ij})\). Such a system is called mean square stabilizable if there exists an (appropriately measurable) input sequence such that the second moment of the resulting closed loop state response is bounded. In [the authors, Proc. 32th CDC, 375 (1993)], a linear stabilizing feedback \(L^+\) was proposed for systems with fully observable state using an iid background noise with distribution \(p^+_j=\max_i p_{ij}\); here \(L^+\) is obtained via an appropriate Riccati equation. This paper contains two main results: The linear feedback \(L^+\) stabilizes the partially observed system if the state estimator (for the closed-loop system with \(L^+\)) has bounded estimate covariance and if the fully observed system is stabilizable. Furthermore, \(L^+\) is robust in the sense that it is still stabilizing if the state equation contains an uncertain term with linear growth of slope less than one. This latter result is proved for the fully observed system. Both results are proved by exploiting the slack in the Riccati equation associated with \(L^+\). Two two-dimensional examples illustrate the results. (Note that about half of the references are cited with wrong numbers).
- Stabilization of jump linear gaussian systems without mode observations
- Robust stabilization of jump linear systems subject to structured uncertainties in the state and input matrices
- On the robustness of jump linear quadratic control
- Robust stabilization of jump linear systems with multiplicative noise
- Analytical control design in systems with random properties. III: Optimum control in linear systems. Minimum mean square error
- Control of discrete-time hybrid stochastic systems
- Dual effect, certainty equivalence, and separation in stochastic control
- scientific article; zbMATH DE number 4211187 (Why is no real title available?)
- scientific article; zbMATH DE number 821283 (Why is no real title available?)
- Infinite horizon optimal control of linear discrete time systems with stochastic parameters
- Linear recursive state estimators under uncertain observations
- On a partially observable LQG problem for systems with Markovian jumping parameters
- On the Adaptive Control of Jump Parameter Systems via Nonlinear Filtering
- On the almost sure and mean-square exponential convergence of some stochastic observers
- On the influence of noise on jump linear systems
- Optimal adaptive LQG control for systems with finite state process parameters
- Optimal control of jump-linear gaussian systems†
- Optimal recursive estimation with uncertain observation
- Pursuing a maneuvering target which uses a random process for its control
- Stabilization of jump linear gaussian systems without mode observations
- Stabilizing control law for hybrid models
- The interacting multiple model algorithm for systems with Markovian switching coefficients
- The solution of a partially observed stochastic optimal control problem in terms of predicted miss
- Rigid cylindrical frameworks with two coincident points
- On Stochastic Stabilization of Discrete‐Time Markovian Jump Systems with Delay in State
- Stabilization of jump linear gaussian systems without mode observations
- Robust disturbance attenuation for discrete‐time active fault tolerant control systems with uncertainties
- \({\mathcal H}_{\infty}\) filter for uncertain Markovian jump nonlinear systems: an LMI approach
This page was built for publication: A stabilizing controller for jump linear Gaussian systems with noisy state observations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2564018)
