Optimal H2 filtering for periodic linear stochastic systems with multiplicative white noise perturbations and sampled measurements

2015 ◽  
Vol 352 (12) ◽  
pp. 5985-6010 ◽  
Author(s):  
Vasile Dragan ◽  
Samir Aberkane ◽  
Ioan-Lucian Popa
Keyword(s):  
White Noise ◽  
Stochastic Systems ◽  
Periodic Linear ◽  
Linear Stochastic Systems ◽  
Multiplicative White Noise ◽  
Sampled Measurements

scholarly journals The LMI Approach for Stabilizing of Linear Stochastic Systems

2013 ◽  
Vol 2013 ◽  
pp. 1-5 ◽  
Author(s):  
Ivan Ivanov
Keyword(s):  
White Noise ◽  
Equilibrium Point ◽  
Discrete Time ◽  
Symmetric Solution ◽  
Numerical Experiments ◽  
Stochastic Systems ◽  
Lmi Approach ◽  
Linear Stochastic Systems ◽  
Multiplicative White Noise ◽  
Stochastic Linear Systems

Stochastic linear systems subjected both to Markov jumps and to multiplicative white noise are considered. In order to stabilize such type of stochastic systems, the so-called set of generalized discrete-time algebraic Riccati equations has to be solved. The LMI approach for computing the stabilizing symmetric solution (which is in fact the equilibrium point) of this system is studied. We construct a new modification of the standard LMI approach, and we show how to apply the new modification. Computer realizations of all modifications are compared. Numerical experiments are given where the LMI modifications are numerically compared. Based on the experiments the main conclusion is that the new LMI modification is faster than the standard LMI approach.

scholarly journals Linear Stochastic Systems: A White Noise Approach

2009 ◽  
Vol 110 (2) ◽  
pp. 545-572 ◽  
Author(s):  
Daniel Alpay ◽  
David Levanony
Keyword(s):  
White Noise ◽  
Stochastic Systems ◽  
Linear Stochastic Systems

Stochastic non-linear oscillators

1993 ◽  
Vol 25 (3) ◽  
pp. 649-666 ◽  
Author(s):  
Lawrence Markus ◽  
Ananda Weerasinghe
Keyword(s):  
White Noise ◽  
Existence And Uniqueness ◽  
Stochastic Systems ◽  
Oscillation Theory ◽  
Oscillatory Behavior ◽  
Asymptotic Growth ◽  
Linear Stochastic Systems ◽  
Non Linear ◽  
Linear Oscillation

Non-linear stochastic systems driven by white noise are analysed from the viewpoint of non-linear oscillation theory. Under various familiar hypotheses concerning dissipative and restorative dynamical forces, the existence and uniqueness, asymptotic growth, and oscillatory behavior of the solutions are demonstrated.

Stochastic non-linear oscillators

1993 ◽  
Vol 25 (03) ◽  
pp. 649-666 ◽  
Author(s):  
Lawrence Markus ◽  
Ananda Weerasinghe
Keyword(s):  
White Noise ◽  
Existence And Uniqueness ◽  
Stochastic Systems ◽  
Oscillation Theory ◽  
Oscillatory Behavior ◽  
Asymptotic Growth ◽  
Linear Stochastic Systems ◽  
Non Linear ◽  
Linear Oscillation

Non-linear stochastic systems driven by white noise are analysed from the viewpoint of non-linear oscillation theory. Under various familiar hypotheses concerning dissipative and restorative dynamical forces, the existence and uniqueness, asymptotic growth, and oscillatory behavior of the solutions are demonstrated.

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