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Almost sure stability and stabilization of discrete-time stochastic systems

Huang, L. and Hjalmarsson, H. and Koeppl, H. (2015):
Almost sure stability and stabilization of discrete-time stochastic systems.
In: Systems & Control Letters, pp. 26-32, 82, [Online-Edition: http://www.sciencedirect.com/science/article/pii/S0167691115...],
[Article]

Abstract

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 nn-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.

Item Type: Article
Erschienen: 2015
Creators: Huang, L. and Hjalmarsson, H. and Koeppl, H.
Title: Almost sure stability and stabilization of discrete-time stochastic systems
Language: English
Abstract:

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 nn-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.

Journal or Publication Title: Systems & Control Letters
Volume: 82
Uncontrolled Keywords: Almost sure stability; Stochastic difference equations; Discrete-time systems; State-feedback stabilization; Gaussian distribution
Divisions: 18 Department of Electrical Engineering and Information Technology > Institute for Telecommunications > Bioinspired Communication Systems
18 Department of Electrical Engineering and Information Technology
18 Department of Electrical Engineering and Information Technology > Institute for Telecommunications
Date Deposited: 01 Jun 2015 09:50
Official URL: http://www.sciencedirect.com/science/article/pii/S0167691115...
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