Almost sure state estimation for nonlinear stochastic systems with Markovian switching

作者：Kan, Xiu; Shu, Huisheng^*; Li, Zhenna

来源：Nonlinear Dynamics, 2014, 76(2): 1591-1602.

DOI：10.1007/s11071-013-1231-y

• State estimation
• Markovian switching
• Almost sure asymptotic stability
• Generalized Ito formula
• Nonlinear stochastic systems

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.

• 出版日期2014-4
• 单位上海工程技术大学; 东华大学