Mean escape time of switched Riccati differential equations

DOI10.1016/J.JFRANKLIN.2023.04.034zbMATH Open1518.93054arXiv2206.00908OpenAlexW4372233677MaRDI QIDQ6168967FDOQ6168967

Authors: Masaki Ogura, Clyde Martin 

Publication date: 11 July 2023

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Abstract: Riccati differential equations is the class of first-order and quadratic ordinary differential equations and has various applications in the systems and control theory. In this paper, we analyze a switched Riccati differential equation that is driven by a Poisson-like stochastic signal. We specifically focus on the computation of the mean escape time of the switched Riccati differential equation. The contribution of this paper is twofold. We first show that, under the assumption that the subsystems described as a deterministic Riccati differential equation escape in finite time regardless of its initial state, the mean escape time of the switched Riccati differential equation admits a power series expression. In order to further expand the applicability of this result, we then present an approximative formula for computing the escape time of deterministic Riccati differential equations. We present numerical simulations to illustrate the obtained results.

Full work available at URL: https://arxiv.org/abs/2206.00908

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Mathematics Subject Classification ID

Control/observation systems governed by ordinary differential equations (93C15) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Stochastic systems in control theory (general) (93E03)

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Cited In (1)

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