Robust and optimal control
Brief paper: On detectability of stochastic systems
Automatica (Journal of IFAC)
Brief paper: Almost sure exponential stabilisation of stochastic systems by state-feedback control
Automatica (Journal of IFAC)
Observability of linear hybrid systems
HSCC'03 Proceedings of the 6th international conference on Hybrid systems: computation and control
On stabilizability and exact observability of stochastic systems with their applications
Automatica (Journal of IFAC)
Stochastic observability in network state estimation and control
Automatica (Journal of IFAC)
| Hi-index | 22.15 |
This paper studies detectability and observability of discrete-time stochastic linear systems. Based on the standard notions of detectability and observability for time-varying linear systems, corresponding definitions for discrete-time stochastic systems are proposed which unify some recently reported detectability and exact observability concepts for stochastic linear systems. The notion of observability leads to the stochastic version of the well-known rank criterion for observability of deterministic linear systems. By using these two concepts, the discrete-time stochastic Lyapunov equation and Riccati equations are studied. The results not only extend some of the existing results on these two types of equation but also indicate that the notions of detectability and observability studied in this paper take analogous functions as the usual concepts of detectability and observability in deterministic linear systems. It is expected that the results presented may play important roles in many design problems in stochastic linear systems.