Almost sure stability of continuous-time Markov jump linear systems: a randomized approach
| Authors: | Bolzern Paolo, Politecnico di Milano, Italy
Colaneri Patrizio, Politecnico di Milano, Italy
De Nicolao Giuseppe, Università di Pavia, Italy |
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| Topic: | 1.4 Stochastic Systems |
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| Session: | Control of Jump Stochastic Processes |
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| Keywords: | Markov Jump Linear Systems, Stochastic jump processes, Hybrid systems, Stability, Monte Carlo method |
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Abstract
In this paper, we study the almost sure stability of continuous-timejump linear systems with a finite-state Markov form process. Asufficient condition for almost sure stability is derived that refers tothe statistics of the transition matrix over m switches. It is shown that,if the system is exponentially almost sure stable, there exists afinite m such that the criterion is satisfied. In order to evaluate the expected valueappearing in the condition, an efficient Montecarlo algorithm is worked out.
