On the Observability and Detectability of Continuous-Time Markov Jump Linear Systems (Q4785683)

The authors consider a class of linear stochastic uncertain systems with Markovian jump parameters described by \[ {dx(t)\over dt}=A\bigl(r (t)\bigr)x(t),\;x(0)=x_0,\;r(0)=r_0 \tag{1} \] \[ y(t)=C\bigl( r(t)\bigr)x(t)\tag{2} \] where \(\{r(t),t\in [0,+\infty)\}\) is a homogeneous finite-state Markovian process with right continuous trajectories and taking values in a finite set \({\mathfrak I}=\{1,2, \dots,s\}\), \(x\in\mathbb{R}^n\) and \(y\in\mathbb{R}^q\) are state and output vectors, respectively. \(A(r(t))\) and \(C(r(t))\) are known real constant matrices of appropriate dimensions. The authors introduce a new concept of \(W\)-detectability and the set of observability matrices \(O\) that is related to the concept of \(W\)-observability for system (1), (2). The obtained result provides a testable condition for \(W\)-detectability.