Detectability, observability and Lyapunov-type theorems of linear discrete time-varying stochastic systems with multiplicative noise

DOI10.1080/00207179.2016.1257152MaRDI QIDQ3132995zbMATH OpenOpenAlexFDO

Authors Weihai Zhang, Bor-Sen Chen, Wei Xing Zheng

Publication date 12 February 2018

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.04379

zbMATH Keywords

exact observabilityexact detectabilitygeneralized Lyapunov equationsdiscrete-time time-varying stochastic systemsuniform detectability

Mathematics Subject Classification ID

Observability (93B07) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Stochastic systems in control theory (general) (93E03) Stochastic stability in control theory (93E15)

Abstract: The objective of this paper is to study detectability, observability and related Lyapunov-type theorems of linear discrete-time time-varying stochastic systems with multiplicative noise. Some new concepts such as uniform detectability, ${calK}^{infty}$-exact detectability (resp. ${calK}^{WFT}$-exact detectability, ${calK}^{FT}$-exact detectability, ${calK}^N$-exact detectability) and ${calK}^{infty}$-exact observability (resp. ${calK}^{WFT}$-exact observability, ${calK}^{FT}$-exact observability, ${calK}^N$-exact observability) are introduced, respectively, and nice properties associated with uniform detectability, exact detectability and exact observability are also obtained. Moreover, some Lyapunov-type theorems associated with generalized Lyapunov equations and exponential stability in mean square sense are presented under uniform detectability, ${calK}^N$-exact observability and ${calK}^N$-exact detectability, respectively.

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Cited in

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• Strict proof for the state transition matrix of linear discrete time-varying stochastic systems
• Matrix approach to detectability of discrete event systems
• Stability analysis of time-varying discrete stochastic systems with multiplicative noise and state delays
• Exact detectability: application to generalized Lyapunov and Riccati equations
• Stability and stabilization of nonlinear discrete-time stochastic systems
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• Exponential input-to-state stability for neutral stochastic delay differential equations with Lévy noise and Markovian switching
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• Observability and detectability of a class of discrete-time stochastic linear systems
• Finite-time stability and stabilization of linear discrete time-varying stochastic systems

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