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The Definite Bound Study of Covariance for Uncertainty Discrete Stochastic System(PDF)


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The Definite Bound Study of Covariance for Uncertainty Discrete Stochastic System
SunXiang WangZidong GuoZhi
Shool of Information,NUST,Nanjing 210094
uncertain systems covariance Lyapunov funct ions
T he definite bound study of covariance play s an important pole in the analysis of stochast ic sy stems stability , the covariance equivalent r ealizat ion of simplified model and co variance-const rained assignment theory . T his paper studies the estimat ion pr oblem of def inite bo und for co variance when there are par ameter perturbat io ns in the system matr ix and the no ise input mat rix . It is described via alg ebra method based on Lyapunov stability theory . By co nstr uct ing and solv ing tw o independent Riccati equations, the upper and low er bound o f the system stable state co variance can be o btained. In the end, a numerical example is added to demonstrate the result’s directness and v al idity .


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Last Update: 2013-04-11