Search results for "stochastic"

Response Correlations of Linear Systems with White Noise Linearly Parametric Inputs

1996

Relationships between moments and correlations of the response of linear systems subjected to linearly parametric normal white noise inputs are here reported. They are obtained by extensively using the properties of the stochastic integral calculus.

Robust reliable passive control of uncertain stochastic switched time-delay systems

2014

This paper investigates the problem of robust reliable passive control for a class of uncertain stochastic switched time-delay systems with actuator failures. The multiple Lyapunov functions (MLFs) technique is exploited to derive a delay-dependent sufficient condition for the stochastic switched time-delay systems to be passive and exponentially stable under a state-based switching law. Moreover, the proposed approach is extended to investigate stochastic switched systems with structured uncertainties. Finally, two numerical examples are presented to illustrate the effectiveness of the proposed method.

Finite-time boundedness for uncertain discrete neural networks with time-delays and Markovian jumps

2014

This paper is concerned with stochastic finite-time boundedness analysis for a class of uncertain discrete-time neural networks with Markovian jump parameters and time-delays. The concepts of stochastic finite-time stability and stochastic finite-time boundedness are first given for neural networks. Then, applying the Lyapunov approach and the linear matrix inequality technique, sufficient criteria on stochastic finite-time boundedness are provided for the class of nominal or uncertain discrete-time neural networks with Markovian jump parameters and time-delays. It is shown that the derived conditions are characterized in terms of the solution to these linear matrix inequalities. Finally, n…

Stability analysis for stochastic hybrid systems: A survey

2014

This survey addresses stability analysis for stochastic hybrid systems (SHS), which are dynamical systems that combine continuous change and instantaneous change and that also include random effects. We re-emphasize the common features found in most of the models that have appeared in the literature, which include stochastic switched systems, Markov jump systems, impulsive stochastic systems, switching diffusions, stochastic impulsive systems driven by renewal processes, diffusions driven by Lévy processes, piecewise-deterministic Markov processes, general stochastic hybrid systems, and stochastic hybrid inclusions. Then we review many of the stability concepts that have been studied, inclu…

2014

This paper deals with the fault detection problem for a class of discrete-time wireless networked control systems described by switching topology with uncertainties and disturbances. System states of each individual node are affected not only by its own measurements, but also by other nodes’ measurements according to a certain network topology. As the topology of system can be switched in a stochastic way, we aim to designH∞fault detection observers for nodes in the dynamic time-delay systems. By using the Lyapunov method and stochastic analysis techniques, sufficient conditions are acquired to guarantee the existence of the filters satisfying theH∞performance constraint, and observer gains…

Design on fuzzy control for a class of stochastic nonlinear systems

2014

The problem of Hankel-norm output feedback control is solved for a class of T-S fuzzy stochastic systems. The dynamic output feedback controller design technique is proposed by employing fuzzy-basis-dependent Lyapunov function approach and the conversion on the Hankel-norm controller parameters. Sufficient conditions are established to design the controllers such that the resulting closed-loop system is stochastically stable and satisfies a prescribed performance. The desired output feedback controller can be obtained by solving a convex optimization problem, which can be efficiently solved by standard numerical algorithms Refereed/Peer-reviewed

Global stability of coupled Markovian switching reaction–diffusion systems on networks

2014

Abstract In this paper, we investigate the stability problem for some Markovian switching reaction–diffusion coupled systems on networks (MSRDCSNs). By using the Lyapunov function, we establish some novel stability principles for stochastic stability, asymptotically stochastic stability, globally asymptotically stochastic stability and almost surely exponential stability of the MSRDCSNs. These stability principles have a close relation to the topology property of the network. We also provide a systematic method for constructing global Lyapunov function for these MSRDCSNs by using graph theory. The new method can help analyze the dynamics of complex networks.

Stability analysis and controller design for a class of T-S fuzzy Markov jump system with uncertain expectation of packet dropouts

2013

This paper is concerned with an H∞ control for a class of Takagi-Sugeno (T-S) fuzzy Markov jump system under unreliable communication links. It is assumed that the transition probabilities determining the dynamical behavior of the underlying system are partially unknown and the communication links between the plant and the controller are imperfect (the packet dropouts occur intermittently). In this paper, a more practical scenario is considered in the setting, i.e., the expectation of packet losses represented as a description of Bernoulli-distributed stochastic process is uncertain. Attention is focused on the design of H∞ controllers such that the closed-loop system is stochastically stab…

Spain in the euro: a general equilibrium analysis

2010

Bayesian dynamic stochastic general equilibrium (DSGE) models combine microeconomic behavioural foundations with a full-system Bayesian likelihood estimation approach using key macro-economic variables. Because of the usefulness of this class ofmodels for addressing questions regarding the impact and consequences of alternative monetary policies they are nowadays widely used for forecasting and policy analysis at central banks and other institutions. In this paper we provide a brief description of the two main aggregate euro area models at the ECB. Both models share a common core but their detailed specification differs reflecting their specific focus and use. The New Area Wide Model (NAWM)…

On the Link Between Volatility and Growth

2011

A model of growth with endogenous innovation and distortionary taxes is presented. Since innovation is the only source of volatility, any variable that influences innovation directly affects volatility and growth. This joint endogeneity is illustrated by working out the effects through which economies with different tax levels differ in their volatility and growth process. We obtain analytical measures of macro volatility based on cyclical output and on output growth rates for plausible parametric restrictions. This analysis implies that controls for taxes should be included in the standard growth-volatility regressions. Our estimates show that the conventional Ramey-Ramey coefficient is af…