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Almost sure state estimation for nonlinear stochastic systems with Markovian switching

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Abstract

In this paper, the almost sure asymptotic stability is investigated for the state estimation problem of a general class of nonlinear stochastic systems with Markovian switching. A nonlinear state estimator with Markovian switching is first proposed, and then, a sufficient condition is given, which guarantees the almost sure asymptotic stability of the dynamics of the estimation error. Based on this condition, some simplified criteria are deduced by taking special forms of Lyapunov functions. Subsequently, an easy-to-verify procedure is put forward for the state estimation problem of the linear stochastic system with Markovian switching. Finally, two numerical examples are used to illustrate the effectiveness of the main results.

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Authors and Affiliations

  1. College of Electronic and Electrical Engineering, Shanghai University of Engineering Science, Shanghai, 201620, China

    Xiu Kan

  2. School of Science, Donghua University, Shanghai, 200051, China

    Huisheng Shu

  3. School of Information Science and Technology, Donghua University, Shanghai, 200051, China

    Zhenna Li

Authors
  1. Xiu Kan
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  2. Huisheng Shu
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  3. Zhenna Li
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Correspondence to Huisheng Shu.

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Kan, X., Shu, H. & Li, Z. Almost sure state estimation for nonlinear stochastic systems with Markovian switching. Nonlinear Dyn 76, 1591–1602 (2014). https://doi.org/10.1007/s11071-013-1231-y

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  • DOI: https://doi.org/10.1007/s11071-013-1231-y

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