Stability of linear Markovian jump systems

Author

Feng, Xiangbo ; Loparo, Kenneth A.

Author_Institution

Dept. of Syst. Eng., Case Western Res. Univ., Cleveland, OH, USA

fYear

1990

fDate

5-7 Dec 1990

Firstpage

1408

Abstract

The authors study the stability properties of linear Markovian jump systems and the relationship among second moment and sample path stability properties. It is shown that asymptotic mean square stability, exponential mean square stability, and stochastic stability are equivalent, and that they imply almost sure stability of the system. The relation between almost sure stability and δ-moment stability for ID jump linear systems is also examined. The Lyapunov exponent method for the study of almost sure stability is discussed, and a theorem which characterizes the qualitative properties of Lyapunov exponents of the jump linear systems is stated

Keywords

Lyapunov methods; Markov processes; stability; stochastic systems; δ-moment stability; ID jump linear systems; Lyapunov exponent method; almost sure stability; asymptotic mean square stability; exponential mean square stability; linear Markovian jump systems; sample path stability properties; second moment stability properties; stochastic stability; Cost function; Feedback; Linear systems; Optimal control; Random processes; Stability; State-space methods; Stochastic processes; Stochastic systems; Systems engineering and theory;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1990., Proceedings of the 29th IEEE Conference on

Conference_Location

Honolulu, HI

Type

conf

DOI

10.1109/CDC.1990.203842

Filename

203842