Fuzzy pole placement based on piecewise Lyapunov functions

This paper presents a controller design method for fuzzy dynamic systems based on piecewise Lyapunov functions with constraints on the closed-loop pole location. The main idea is to use switched controllers to locate the poles of the system to obtain a satisfactory transient response. It is shown that the global fuzzy system satisfies the requirements for the design and that the control law can be obtained by solving a set of linear matrix inequalities, which can be efficiently solved with commercially available softwares. An example is given to illustrate the application of the proposed method. Copyright (C) 2009 John Wiley & Sons, Ltd.

Information Filtering and Array Algorithms for Discrete-Time Markovian Jump Linear Systems

This technical note develops information filter and array algorithms for a linear minimum mean square error estimator of discrete-time Markovian jump linear systems. A numerical example for a two-mode Markovian jump linear system, to show the advantage of using array algorithms to filter this class of systems, is provided.

On the Filtering Problem for Continuous-Time Markov Jump Linear Systems with no Observation of the Markov Chain

We consider in this paper the optimal stationary dynamic linear filtering problem for continuous-time linear systems subject to Markovian jumps in the parameters (LSMJP) and additive noise (Wiener process). It is assumed that only an output of the system is available and therefore the values of the jump parameter are not accessible. It is a well known fact that in this setting the optimal nonlinear filter is infinite dimensional, which makes the linear filtering a natural numerically, treatable choice. The goal is to design a dynamic linear filter such that the closed loop system is mean square stable and minimizes the stationary expected value of the mean square estimation error. It is shown that an explicit analytical solution to this optimal filtering problem is obtained from the stationary solution associated to a certain Riccati equation. It is also shown that the problem can be formulated using a linear matrix inequalities (LMI) approach, which can be extended to consider convex polytopic uncertainties on the parameters of the possible modes of operation of the system and on the transition rate matrix of the Markov process. As far as the authors are aware of this is the first time that this stationary filtering problem (exact and robust versions) for LSMJP with no knowledge of the Markov jump parameters is considered in the literature. Finally, we illustrate the results with an example.

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

Recursive linear estimation for general discrete-time descriptor systems

This paper considers the optimal linear estimates recursion problem for discrete-time linear systems in its more general formulation. The system is allowed to be in descriptor form, rectangular, time-variant, and with the dynamical and measurement noises correlated. We propose a new expression for the filter recursive equations which presents an interesting simple and symmetric structure. Convergence of the associated Riccati recursion and stability properties of the steady-state filter are provided. (C) 2010 Elsevier Ltd. All rights reserved.

CHARACTERIZATION OF EXPONENTIAL DIVERGENCE OF THE KALMAN FILTER FOR TIME-VARYING SYSTEMS

This paper studies semistability of the recursive Kalman filter in the context of linear time-varying (LTV), possibly nondetectable systems with incorrect noise information. Semistability is a key property, as it ensures that the actual estimation error does not diverge exponentially. We explore structural properties of the filter to obtain a necessary and sufficient condition for the filter to be semistable. The condition does not involve limiting gains nor the solution of Riccati equations, as they can be difficult to obtain numerically and may not exist. We also compare semistability with the notions of stability and stability w.r.t. the initial error covariance, and we show that semistability in a sense makes no distinction between persistent and nonpersistent incorrect noise models, as opposed to stability. In the linear time invariant scenario we obtain algebraic, easy to test conditions for semistability and stability, which complement results available in the context of detectable systems. Illustrative examples are included.

PARTIAL STABILITY FOR A CLASS OF NONLINEAR SYSTEMS

This paper studies a nonlinear, discrete-time matrix system arising in the stability analysis of Kalman filters. These systems present an internal coupling between the state components that gives rise to complex dynamic behavior. The problem of partial stability, which requires that a specific component of the state of the system converge exponentially, is studied and solved. The convergent state component is strongly linked with the behavior of Kalman filters, since it can be used to provide bounds for the error covariance matrix under uncertainties in the noise measurements. We exploit the special features of the system-mainly the connections with linear systems-to obtain an algebraic test for partial stability. Finally, motivated by applications in which polynomial divergence of the estimates is acceptable, we study and solve a partial semistability problem.

H(infinity) filtering for rectangular discrete-time descriptor systems

This paper deals with the H(infinity) recursive estimation problem for general rectangular time-variant descriptor systems in discrete time. Riccati-equation based recursions for filtered and predicted estimates are developed based on a data fitting approach and game theory. In this approach, the nature determines a state sequence seeking to maximize the estimation cost, whereas the estimator tries to find an estimate that brings the estimation cost to a minimum. A solution exists for a specified gamma-level if the resulting cost is positive. In order to present some computational alternatives to the H(infinity) filters developed, they are rewritten in information form along with the respective array algorithms. (C) 2009 Elsevier Ltd. All rights reserved.

Robust state prediction for descriptor systems

This paper deals with the problem of state prediction for descriptor systems subject to bounded uncertainties. The problem is stated in terms of the optimization of an appropriate quadratic functional. This functional is well suited to derive not only the robust predictor for descriptor systems but also that for usual state-space systems. Numerical examples are included in order to demonstrate the performance of this new filter. (C) 2008 Elsevier Ltd. All rights reserved.

Stable Model Predictive Control for Integrating Systems with Optimizing Targets

This paper concern the development of a stable model predictive controller (MPC) to be integrated with real time optimization (RTO) in the control structure of a process system with stable and integrating outputs. The real time process optimizer produces Optimal targets for the system inputs and for Outputs that Should be dynamically implemented by the MPC controller. This paper is based oil a previous work (Comput. Chem. Eng. 2005, 29, 1089) where a nominally stable MPC was proposed for systems with the conventional control approach where only the outputs have set points. This work is also based oil the work of Gonzalez et at. (J. Process Control 2009, 19, 110) where the zone control of stable systems is studied. The new control for is obtained by defining ail extended control objective that includes input targets and zone controller the outputs. Additional decision variables are also defined to increase the set of feasible solutions to the control problem. The hard constraints resulting from the cancellation of the integrating modes Lit the end of the control horizon are softened,, and the resulting control problem is made feasible to a large class of unknown disturbances and changes of the optimizing targets. The methods are illustrated with the simulated application of the proposed,approaches to a distillation column of the oil refining industry.

Spectral properties of chaotic signals generated by the skew tent map

Chaotic signals have been considered potentially attractive in many signal processing applications ranging from wideband communication systems to cryptography and watermarking. Besides, some devices as nonlinear adaptive filters and phase-locked loops can present chaotic behavior. In this paper, we derive analytical expressions for the autocorrelation sequence, power spectral density and essential bandwidth of chaotic signals generated by the skew tent map. From these results, we suggest possible applications in communication systems. (C) 2009 Elsevier B.V. All rights reserved.

Generalized Coupled Algebraic Riccati Equations for Discrete-time Markov Jump with Multiplicative Noise Systems

In this paper we consider the existence of the maximal and mean square stabilizing solutions for a set of generalized coupled algebraic Riccati equations (GCARE for short) associated to the infinite-horizon stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a sufficient condition, based only on some positive semi-definite and kernel restrictions on some matrices, under which there exists the maximal solution and a necessary and sufficient condition under which there exists the mean square stabilizing solution fir the GCARE. We also present a solution for the discounted and long run average cost problems when the performance criterion is assumed be composed by a linear combination of an indefinite quadratic part and a linear part in the state and control variables. The paper is concluded with a numerical example for pension fund with regime switching.

Suppressing grazing chaos in impacting system by structural nonlinearity

In this note we investigate the influence of structural nonlinearity of a simple cantilever beam impacting system on its dynamic responses close to grazing incidence by a means of numerical simulation. To obtain a clear picture of this effect we considered two systems exhibiting impacting motion, where the primary stiffness is either linear (piecewise linear system) or nonlinear (piecewise nonlinear system). Two systems were studied by constructing bifurcation diagrams, basins of attractions, Lyapunov exponents and parameter plots. In our analysis we focused on the grazing transitions from no impact to impact motion. We observed that the dynamic responses of these two similar systems are qualitatively different around the grazing transitions. For the piecewise linear system, we identified on the parameter space a considerable region with chaotic behaviour, while for the piecewise nonlinear system we found just periodic attractors. We postulate that the structural nonlinearity of the cantilever impacting beam suppresses chaos near grazing. (C) 2007 Elsevier Ltd. All rights reserved.

The four-element Chua`s circuit

A new circuit configuration, linearly conjugate to the standard Chua`s circuit, is presented. Its distinctive feature is that the equations now admit an additional parameter, which controls the dissipation in the network connected to the Chua diode. In the limiting case we obtain the simplest chaotic circuit, consisting of a piecewise-linear resistor and three lossless elements.