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Almost sure stability and stabilization of discrete-time stochastic systems
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0002-9368-3079
2015 (English)In: Systems & control letters (Print), ISSN 0167-6911, E-ISSN 1872-7956, Vol. 82, 26-32 p.Article in journal (Refereed) Published
Abstract [en]

As is well known, noise may play a stabilizing or destabilizing role in continuous-time systems. But, for analysis and design of discrete-time systems, noise is treated as disturbance in the literature. This paper studies almost sure stability of general n-dimensional nonlinear time-varying discrete-time stochastic systems and presents a criterion based on a numerical result derived from Higham (2001), which exploits the stabilizing role of noise in discrete-time systems. As an application of the established results, this paper proposes a novel controller design method for almost sure-stabilization of linear discrete-time stochastic systems. The effectiveness of the proposed design method is verified with an example (an aircraft model subject to state-dependent noise), to which the existing results do not apply.

Place, publisher, year, edition, pages
[Huang, Lirong] Swiss Fed Inst Technol, D BIOL, Inst Mol Syst Biol, Zurich, Switzerland. [Hjalmarsson, Hakan] KTH Royal Inst Technol, ACCESS Linnaeus Ctr & Automat Control Lab, Stockholm, Sweden. [Koeppl, Heinz] Tech Univ Darmstadt, Dept Elect Engn & Informat Technol, Darmstadt, Germany., 2015. Vol. 82, 26-32 p.
Keyword [en]
Almost sure stability, Stochastic difference equations, Discrete-time systems, State-feedback stabilization, Gaussian distribution
National Category
URN: urn:nbn:se:kth:diva-174246DOI: 10.1016/j.sysconle.2015.05.005ISI: 000360952500004ScopusID: 2-s2.0-84930937181OAI: diva2:860933

QC 20151014

Available from: 2015-10-14 Created: 2015-10-02 Last updated: 2015-10-14Bibliographically approved

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