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On the observability and detectability of linear stochastic systems with Markov jumps and multiplicative noise

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Abstract

This paper presents the notions of exact observability and exact detectability for Markov jump linear stochastic systems of Itô type with multiplicative noise (for short, MJLSS). Stochastic Popov-Belevith-Hautus (PBH) Criterions for exact observability and exact detectability are respectively obtained. As an application, stochastic H 2/H ∞ control for such MJLSS is discussed under exact detectability.

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Authors and Affiliations

  1. Key Laboratory of Systems and Control, Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China

    Yuanhua Ni & Haitao Fang

  2. College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao, China

    Weihai Zhang

Authors
  1. Yuanhua Ni
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  2. Weihai Zhang
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  3. Haitao Fang
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Corresponding author

Correspondence to Yuanhua Ni.

Additional information

This work is supported by National Natural Science Foundation of China under Grant Nos 60774020, 60736028, and 60821091.

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Ni, Y., Zhang, W. & Fang, H. On the observability and detectability of linear stochastic systems with Markov jumps and multiplicative noise. J Syst Sci Complex 23, 102–115 (2010). https://doi.org/10.1007/s11424-010-9270-7

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  • DOI: https://doi.org/10.1007/s11424-010-9270-7

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