Article ID Journal Published Year Pages File Type
756343 Systems & Control Letters 2013 6 Pages PDF
Abstract

This paper studies detectability and observability of Markov jump discrete-time linear stochastic systems with multiplicative noise (MJDLS for short). The relations between some concepts of detectability and observability are established. These relations, together with equivalent expressions of observability Gramian allow us to obtain some other sufficient and necessary conditions of detectability and observability. As applications, discrete-time stochastic Lyapunov equations and stochastic discrete algebraic Riccati equations (SDARE) are discussed.

Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
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