linear discrete-time stochastic systems
RLS Wiener Predictor with Uncertain Observations in Linear Discrete Time Stochastic Systems
... v k and the observed values y k are used. More- over, Nakamori et al. [5], based on the innovation ap- proach, proposed the RLS Wiener fixed-point smoother and filter in linear discrete-time ...
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Region stability of linear stochastic discrete systems with time delays
... a linear system with- out delays, as is well known, the stability is related to the system matrix root-clustering in subregions of the complex ...of systems has a close relation with the spectrum placement ...
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Universal discrete-time reservoir computers with stochastic inputs and linear readouts using non-homogeneous state-affine systems
... just linear readouts that are trained via a (eventually regularized) linear regression that minimizes the Euclidean distance between the output y and the teaching signal ...
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Mean square robust stability of stochastic switched discrete time systems with convex polytopic uncertainties
... of stochastic switched discrete time-delay systems with convex polytopic ...interval time-varying delays, which allows the delay to be a fast time-varying function and the lower ...
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Integrated optimal control and parameter estimation algorithms for discrete time nonlinear stochastic dynamical systems
... nonlinear stochastic system is considered, where the stochastic value function and the stochastic Hamiltonian function are ...a linear stochastic control system, the dynamic regulator ...
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Robust stabilization of hybrid uncertain stochastic systems by discrete-time feedback control
... Linear hybrid stochastic differential equations have been extensively employed to model many real-world systems (see e.g. [5, 7, 8]). Due to the practical constraints and different limitations for ...
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Robust Finite Time H∞ Filtering for Discrete Time Markov Jump Stochastic Systems
... mance level for all admissible uncertainties. Sufficient conditions of filtering design for the system under consideration are developed and the corres- ponding filter parameters can be achieved in terms of linear ...
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Eigenvalue Assignment Of Discrete-Time Linear Systems With State And Input Time-Delays
... of time-delay systems has been a very active field for the last 20 years and has spawned many branches, for example, stability analysis, stabilization design, H control, passive and dissipative control, ...
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Almost sure exponential stabilization by discrete-time stochastic feedback control
... the discrete-time control problem, it is better to compare the above stochastic feedback control with the deterministic feedback ...multi-dimensional linear system x(t) = ˙ ...controlled ...
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Robust stabilization of hybrid uncertain stochastic systems with time varying delay by discrete time feedback control
... uncertain stochastic systems with time-varying ...on discrete-time state observations such that, for all admissible uncertainties, the closed-loop system is robustly exponentially ...
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Controllability of linear fractional stochastic systems
... fractional systems and the rank condition for these systems are discussed in [19], while the controllability and observability of linear discrete-time fractional-order systems ...
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Finite Time Bounded Tracking Control for Linear Discrete Time Systems
... In 1961, Dorato proposed the concept of finite-time stability (FTS) in [1]. The main concept is that if the bound of the initial condition is given, the state of the system does not exceed a certain bound over a ...
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Robust quantised control of hybrid stochastic systems based on discrete-time state and mode observations
... hybrid systems driven by continuous-time Markov chains have been intensively studied due to the reason that many practical systems can be modeled as hybrid stochastic systems, such as ...
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Infinite horizon linear quadratic optimal control for stochastic difference time delay systems
... optimal linear quadratic regulation (LQR) problem was initiated by Kalman in [], which is one of the most important optimal control ...studied stochastic linear quadratic (LQ) control for Itô ...the ...
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Survey of duality between linear quadratic regulation and linear estimation problems for discrete time systems
... of linear systems with measurements including both multiplicative and additive noises have been ...for discrete- time systems including stochastic ...the linear estimation ...
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Discrete-time option pricing with stochastic liquidity
... bid and ask prices are then dependent on the trade size which differs from our assumption of a trade-invariant bid-ask spread. They find that, in discrete time, hedging derivatives by trading the illiquid ...
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Stability of Arbitrarily Switched Discrete-time Linear Singular Systems of Index-1
... switched discrete-time linear singular systems (SDLS) has been ...switched systems, some necessary and sufficient conditions have been established for exponential ...
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The Cauchy problem of Backward Stochastic Super-Parabolic Equations with Quadratic Growth
... Backward stochastic partial differential equations (BSPDEs) have recently received a lot of attentions. The existence, uniqueness, and regularity of solutions to the Cauchy problem of BSPEs is fairly complete ...
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Fault Diagnosis of Discrete-Time Linear Systems Using Continuous Time Delay Petri Nets
... As mentioned before, alternative PNs such as continuous Petri nets (CPNs), timed continuous Petri nets (TCPN), hybrid Petri nets (HPN), and CTDPNs have been introduced to model and analyze continuous dynamic ...
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Non-linear minimum variance estimation for discrete-time multi-channel systems
... nonlinear systems may handle con- straints [22] and provides an alternative that may be particularly useful for systems with significant ...in discrete form but there is a much greater level of ...
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