Statistical analysis of stable FDLCP systems described by higher order differential equations

Authors:	Lampe Bernhard, University of Rostock, Germany Rosenwasser Efim, SAint Petersburg Marine Technical University, Russian Federation
Topic:	1.4 Stochastic Systems
Session:	Control, Estimation and Analysis of Stochastic Systems
Keywords:	Linear systems, Time-varying systems, Periodic motion, H2-norm

Abstract

The paper investigates the response of stable finite dimensionallinear continuous-time periodic (FDLCP) systems to white noiseinput. The FDLCP system is described by differential equations ofhigher order. Closed formulae for calculating the matrix varianceof the output, as well as the mean variance and the H2-normof the system are derived on basis of the parametric transfermatrix. These formulae only employ matrices of finite dimensions.An example was computed with Matlab.