Bounding the State Covariance Matrix for a Randomly Switching Linear System with Noise

arXiv1905.09427MaRDI QIDQ6319213FDOQ6319213

Authors: Yongeun Yoon, Corbin Klett, Eric Feron 

Publication date: 21 May 2019

Abstract: The propagation of a state vector is governed by a set of time-invariant state transition matrices that switch arbitrarily between two values. The evolution of the state is also perturbed by white Gaussian noise with a variance that switches randomly with the state transition relation. The behavior of this system can be characterized by the covariance matrix of the state vector, which is time varying. However, we can bound the set of covariances by comparing the switching system to an augmented system derived with Kronecker algebra. We formulate a matrix optimization problem to compute an ellipsoid that bounds the covariance dynamics, which in turn bounds the state covariance of the set of switching systems subject to white noise. In developing this approach, an invariant ellipsoid for a linear switching affine system is computed along the way.

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