Bounding the State Covariance Matrix for Switched Linear Systems with Noise

Corbin Klett; Matthew Abate; Yongeun Yoon; Samuel Coogan; Eric Feron

doi:10.23919/ACC45564.2020.9147787

Bounding the State Covariance Matrix for Switched Linear Systems with Noise

Corbin Klett, Matthew Abate, Yongeun Yoon, Samuel Coogan, Eric Feron

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

4 Scopus citations

Abstract

This paper studies the infinite-time behavior of switched linear systems in the presence of additive noise. In particular, we show that the propagation of the state covariance matrix can be described by a linear affine system and therefore classified by an invariant region of the covariance space. An algorithm is presented for bounding the state covariance matrix with a suitable hyper-ellipsoid in the dimension of the covariance space; we form this algorithm using a Kronecker algebra-based derivation.

Original language	English (US)
Title of host publication	Proceedings of the American Control Conference
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	2876-2881
Number of pages	6
ISBN (Print)	9781538682661
DOIs	https://doi.org/10.23919/ACC45564.2020.9147787
State	Published - Jul 1 2020
Externally published	Yes

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Generated from Scopus record by KAUST IRTS on 2021-02-18

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10.23919/ACC45564.2020.9147787

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title = "Bounding the State Covariance Matrix for Switched Linear Systems with Noise",

abstract = "This paper studies the infinite-time behavior of switched linear systems in the presence of additive noise. In particular, we show that the propagation of the state covariance matrix can be described by a linear affine system and therefore classified by an invariant region of the covariance space. An algorithm is presented for bounding the state covariance matrix with a suitable hyper-ellipsoid in the dimension of the covariance space; we form this algorithm using a Kronecker algebra-based derivation.",

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AU - Klett, Corbin

AU - Abate, Matthew

AU - Yoon, Yongeun

AU - Coogan, Samuel

AU - Feron, Eric

N1 - Generated from Scopus record by KAUST IRTS on 2021-02-18

PY - 2020/7/1

Y1 - 2020/7/1

N2 - This paper studies the infinite-time behavior of switched linear systems in the presence of additive noise. In particular, we show that the propagation of the state covariance matrix can be described by a linear affine system and therefore classified by an invariant region of the covariance space. An algorithm is presented for bounding the state covariance matrix with a suitable hyper-ellipsoid in the dimension of the covariance space; we form this algorithm using a Kronecker algebra-based derivation.

AB - This paper studies the infinite-time behavior of switched linear systems in the presence of additive noise. In particular, we show that the propagation of the state covariance matrix can be described by a linear affine system and therefore classified by an invariant region of the covariance space. An algorithm is presented for bounding the state covariance matrix with a suitable hyper-ellipsoid in the dimension of the covariance space; we form this algorithm using a Kronecker algebra-based derivation.

UR - https://ieeexplore.ieee.org/document/9147787/

UR - http://www.scopus.com/inward/record.url?scp=85089577076&partnerID=8YFLogxK

U2 - 10.23919/ACC45564.2020.9147787

DO - 10.23919/ACC45564.2020.9147787

M3 - Conference contribution

SN - 9781538682661

SP - 2876

EP - 2881

BT - Proceedings of the American Control Conference

PB - Institute of Electrical and Electronics Engineers Inc.

ER -

Bounding the State Covariance Matrix for Switched Linear Systems with Noise

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