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

《南京理工大学学报》(自然科学版)[ISSN:1005-9830/CN:32-1397/N]

Issue:
1996年05期
Page:
49-52
Research Field:
Publishing date:

Info

Title:
The Definite Bound Study of Covariance for Uncertainty Discrete Stochastic System
Author(s):
SunXiang WangZidong GuoZhi
Shool of Information,NUST,Nanjing 210094
Keywords:
uncertain systems covariance Lyapunov funct ions
PACS:
N94
DOI:
-
Abstract:
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 .

References:

1 Ho tz A F, Skelton R E . Cov ariance contr ol theo ry . Int J Contr , 1987, 46( 1) : 13~32
2 Skelton R E , Inasaki T . Liapuno v and co var iance contr oller s. Int J Contr , 1993, 57( 3) : 519~536
3 Xu J H, Skelton R E, Zhu G. Upper and low er co var iance bounds for pert ur bed linear sy stems.IEEE T rans Aut omat Co ntr , 1990, 35( 8) : 944~ 948
4 Funahashi A T . Upper and low er bo unds o f Gr amian fo r a class o f per tubed linear systems.IEEE T ro ns Automat Contr , 1992, 37( 10) : 1659~1661

Memo

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Last Update: 2013-04-11