On a partially observable LQG problem for systems with Markovian jumping parameters
Systems & Control Letters
Almost sure instability of the random harmonic oscillator
SIAM Journal on Applied Mathematics
H∞ -control for Markovian jumping linear systems with parametric uncertainty
Journal of Optimization Theory and Applications
Performance of the maximum likelihood constant frequency estimatorfor frequency tracking
IEEE Transactions on Signal Processing
Brief Constrained quadratic state feedback control of discrete-time Markovian jump linear systems
Automatica (Journal of IFAC)
Technical communique: Robust H2 control of continuous-time Markov jump linear systems
Automatica (Journal of IFAC)
ACC'09 Proceedings of the 2009 conference on American Control Conference
CCDC'09 Proceedings of the 21st annual international conference on Chinese Control and Decision Conference
SIAM Journal on Control and Optimization
Information Sciences: an International Journal
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This paper considers the robustness of stochastic stability of Markovian jump linear systems in continuous- and discrete-time with respect to their transition rates and probabilities, respectively. The continuous-time (discrete-time) system is described via a continuous-valued state vector and a discrete-valued mode which varies according to a Markov process (chain). By using stochastic Lyapunov function approach and Kronecker product transformation techniques, sufficient conditions are obtained for the robust stochastic stability of the underlying systems, which are in terms of upper bounds on the perturbed transition rates and probabilities. Analytical expressions are derived for scalar systems, which are straightforward to use. Numerical examples are presented to show the potential of the proposed techniques.