Detectability and observability of discrete-time stochastic systems and their applications

This paper studies detectability and observability of discrete-time stochastic linear systems. Based on the standard notions of detectability and observability for time-varying linear systems, corresponding definitions for discrete-time stochastic systems are proposed which unify some recently reported detectability and exact observability concepts for stochastic linear systems. The notion of observability leads to the stochastic version of the well-known rank criterion for observability of deterministic linear systems. By using these two concepts, the discrete-time stochastic Lyapunov equation and Riccati equations are studied. The results not only extend some of the existing results on these two types of equation but also indicate that the notions of detectability and observability studied in this paper take analogous functions as the usual concepts of detectability and observability in deterministic linear systems. It is expected that the results presented may play important roles in many design problems in stochastic linear systems.     

Observability and Forward–Backward Observability of Discrete-Time Nonlinear Systems

 In this paper we study the observability properties of nonlinear discrete-time systems. Two types of contributions are given. First we present observability criteria in terms of appropriate codistributions. For particular, but significant, classes of systems we provide criteria that require only a finite number of computations. Then we consider invertible systems (which includes discrete-time models obtained by sampling continuous-time systems) and prove that the weaker notion of forward–backward observability is equivalent to the stronger notion of (forward) observability. Date received: January 19, 2001. Date revised: May 14, 2002.     

Model order-reduction for discrete-time switched linear systems

This article describes the problem of model order-reduction for a class of hybrid discrete-time switched linear systems composed of linear discrete-time invariant subsystems with a switching rule. This article investigates two novel approaches to model order-reduction. The first approach consists in evaluating the error approximation performance; the problems are solved using the robust stability results of the switched systems. The second approach presents the reachability and observability Gramians of the switched systems, which allows a balanced truncation model reduction procedure. A numerical example shows the effectiveness of the proposed approaches.     

基于H表示的时变随机Markov 跳跃系统的能观性

研究时变连续和离散随机Markov 跳跃系统(SMJSs) 的能观性问题. 基于H-表示方法将时变SMJSs 转化为等价的时变线性系统, 根据线性系统理论得到时变连续和离SMJSs 的能观性Gramian 矩阵判据. 数值仿真表明了所得结论的正确性.     

Robust analysis and control for a class of uncertain nonlinear discrete-time systems

This paper deals with the problem of robust analysis and control of a class of nonlinear discrete-time systems with (constant) uncertain parameters. For the analysis problem we use a polynomial Lyapunov function and we generalize, for nonlinear systems, the “extended stability” notion proposed by Oliveira et al. (1999) in the context of linear discrete-time uncertain systems. As a result, we propose an LMI optimization problem to maximize an estimate of the domain of attraction, and also extend this approach to the synthesis problem by considering parameter-dependent Lyapunov functions and nonlinear multipliers. Numerical examples illustrate the approach and show its potential for solving analysis and control problems of nonlinear discrete-time systems.     

A maximum-likelihood Kalman filter for switching discrete-time linear systems

State estimation is addressed for a class of discrete-time systems that may switch among different modes taken from a finite set. The system and measurement equations of each mode are assumed to be linear and perfectly known, but the current mode of the system is unknown. Moreover, additive, independent, normally distributed noises are assumed to affect the dynamics and the measurements. First, relying on a well-established notion of mode observability developed “ad hoc” for switching systems, an approach to system mode estimation based on a maximum-likelihood criterion is proposed. Second, such a mode estimator is embedded in a Kalman filtering framework to estimate the continuous state. Under the unique assumption of mode observability, stability properties in terms of boundedness of the mean square estimation error are proved for the resulting filter. Simulation results showing the effectiveness of the proposed filter are reported.     

Single-experiment observability decomposition of discrete-time analytic systems

This paper addresses the single-experiment observability decomposition of discrete-time analytic systems. Unlike the continuous-time case, there exist systems which cannot be decomposed into observable and unobservable subsystems due to the fact that the observable space is not integrable. In this paper, a necessary and sufficient condition for integrability of observable space is given. As a corollary of this condition it is proven that if the system is reversible, the observability decomposition can be always achieved. Moreover, integrability of observable space is also addressed for delta-domain models of non-uniformly sampled systems.     

Observability of nonlinear control systems on time scales

The problem of observability of the family of nonlinear control systems defined on any time scale and parameterised by time instant t ₀ is developed. Necessary and sufficient conditions for observability are given. Because time scale is a rich model of time that includes continuous- and discrete-time models as standard cases, the obtained results extend classical observability rank conditions given for continuous-time systems and discrete-time systems.     

Realization theory of discrete-time linear switched systems

The paper presents realization theory of discrete-time linear switched systems. We present necessary and sufficient conditions for an input–output map to admit a discrete-time linear switched system realization. In addition, we present a characterization of minimality of discrete-time linear switched systems in terms of reachability and observability. Further, we prove that minimal realizations are unique up to isomorphism. We also discuss algorithms for converting a linear switched system to a minimal one and for constructing a state-space representation from input–output data. The paper uses the theory of rational formal power series in non-commutative variables.     

Optimal guaranteed cost filtering for uncertain discrete-time linear systems

This paper presents a result on the design of a steady-state robust state estimator for a class of uncertain discrete-time linear systems with normal bounded uncertainty. This result extends the steady state Kalman filter to the case in which the underlying system is uncertain. A procedure is given for the construction of a state estimator which minimizes a bound on the state error covariance. It is shown that this leads to a state estimator which is optimal with respect to a notion of quadratic guaranteed cost state estimation.     

Robust and fault-tolerant supervisory control of discrete event systems with partial observation and model uncertainty

This paper proposes the notions of faults and failures in discrete event systems (DESs) with partial observation. They are associated with controllability and an observability property. The proposed notions are used to address the notion of tolerable fault event sequences which represents fault-tolerant behaviour of systems as a desired specification. A robust and fault-tolerant supervisor is a controller which is robust to model uncertainty and guarantees fault-tolerant behaviour of a system. In this paper we present necessary and sufficient conditions for the existence of a robust and fault-tolerant supervisor. The developed conditions capture the concepts of controllability and observability which are cores in the control of DESs with partial observation     

On the controllability and observability of discrete-time linear time-delay systems

This article studies the controllability and observability of discrete-time linear time-delay systems, so that the two properties can play a more fundamental role in system analysis before controller and observer design is engaged. Complete definitions of controllability and observability, which imply the stabilisability and detectability, respectively, and determine the feasibility of eigenvalue assignment, are proposed for systems with delays in both state variables and input/output signals. Necessary and sufficient criteria are developed to check the controllability and observability efficiently. The proofs are based on the equivalent expanded system, but the criteria only involve the delays and matrices of the same dimension as the original system. Finally, the duality between the suggested controllability and observability is presented.     

Discrete-time certainty equivalence output feedback: allowing discontinuous control laws including those from model predictive control

We present certainty equivalence output feedback results for discrete-time nonlinear systems that employ possibly discontinuous control laws in the feedback loop. Coupling assumptions of nominal robustness with uniform observability or detectability assumptions, we assert nominally robust stability for output feedback closed loops. We further show that model predictive control (MPC) can be used to generate a feedback control law that is robustly globally asymptotically stabilizing when used in a certainty equivalence output feedback closed loop. Allowing for discontinuous feedback control laws is important for systems employing MPC, since the method can, and sometimes necessarily does, result in discontinuous control laws.     

持续有界扰动下的非线性H∞鲁棒预测控制

针对未知但有界的持续扰动, 提出了一种约束非线性 H∞ 鲁棒预测控制策略. 首先, 引入离散系统的输入状态稳定性概念; 其次, 采用仿射输入定义预测控制的控制律, 并给出相应终端约束集的估计解法. 进一步, 得到预测控制闭环系统的鲁棒稳定性结论. 最后, 数值仿真验证了上述策略的有效性.     

Observability of polynomially stable systems

For finite-dimensional systems the Hautus test is a well known and easily checkable condition for observability. Russell and Weiss [A general necessary condition for exact observability, SIAM J. Control Optim. 32 (1994) 1–23] suggested an infinite-dimensional version of the Hautus test, which is necessary for exact infinite-time observability and sufficient for approximate infinite-time observability of exponentially stable systems. In this paper the notion of observability is studied for polynomially stable systems. Several known results for exponentially stable systems are extended to the setting of polynomially stable systems. By means of an example the obtained results are illustrated.     

Frequency-domain criteria of robust stability: Discrete-time and continuous-time systems,a unified approach

This paper is concerned with the stability and robust stability of linear discrete-time and continuous-time systems. The characteristic polynomials of linear systems are transformed into the general polynomials of discrete-time systems, and similarly to the hodogram of the discrete-time system, the stability and the robust stability for the general characteristic polynomials with parameter uncertainty are analysed by using the zero exclusion method, where the order of the system is not used specifically a condition for a stability.     

Infinite horizon linear quadratic differential games for discrete-time stochastic systems

This paper deals with the infinite horizon linear quadratic(LQ)differential games for discrete-time stochastic systems with both state and control dependent noise.The Popov-Belevitch-Hautus(PBH)criteria for exact observability and exact detectability of discrete-time stochastic systems are presented.By means of them,we give the optimal strategies (Nash equilibrium strategies)and the optimal cost values for infinite horizon stochastic differential games.It indicates that the infinite horizon LQ stochastic differential games are associated with four coupled matrix-valued equations.Furthermore, an iterative algorithm is proposed to solve the four coupled equations.Finally,an example is given to demonstrate our results.     

State and unknown input estimation for linear discrete-time systems

In this paper, a state and unknown input delayed estimator is designed for discrete-time linear systems even if some well-known matching condition does not hold. This result is obtained using a constructive algorithm that analyzes the state observability and the left invertibility of the systems with unknown inputs and that provides a suitable canonical transformation for the design of the estimator.     

Guaranteed cost control of uncertain discrete systems with delays

In this paper, we address the problems of robust performance analysis and control synthesis for a class of discrete-time systems with parameter uncertainty and unknown state-delay. The parameter uncertainty is real time-varying normbounded and the state-delay is a constant within a prescribed interval. For the robust performance analysis problem, we adopt an appropriate notion of robust stability for discrete-time uncertain time-delay systems and show that this notion guarantees an upper bound on a linear quadratic cost function. For the control synthesis problem, we show that a robust state-feedback controller can be constructed to render the closed-loop system robustly stable while guaranteeing a prescribed level of performance. The developed results are expressed in terms of algebraic matrix inequalities. A numerical example is presented to illustrate the theory.