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 proceedingConference contribution

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 languageEnglish (US)
Title of host publicationProceedings of the American Control Conference
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages2876-2881
Number of pages6
ISBN (Print)9781538682661
DOIs
StatePublished - Jul 1 2020
Externally publishedYes

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