In this paper, we study the almost sure stability of continuous-time jump linear systems with a finite-state Markov form process. A sufficient condition for almost sure stability is derived that refers to the statistics of the transition matrix over m switches. It is shown that, if the system is exponentially almost sure stable, there exists a finite m such that the criterion is satisfied. In order to evaluate the expected value appearing in the condition, an efficient Monte Carlo algorithm is worked out.
On almost sure stability of continuous-time Markov jump linear systems
DE NICOLAO, GIUSEPPE
2006-01-01
Abstract
In this paper, we study the almost sure stability of continuous-time jump linear systems with a finite-state Markov form process. A sufficient condition for almost sure stability is derived that refers to the statistics of the transition matrix over m switches. It is shown that, if the system is exponentially almost sure stable, there exists a finite m such that the criterion is satisfied. In order to evaluate the expected value appearing in the condition, an efficient Monte Carlo algorithm is worked out.File in questo prodotto:
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