Towards stochastic realization theory for Generalized Linear Switched Systems with inputs: decomposition into stochastic and deterministic components and existence and uniqueness of innovation form
Optimization and Control
2024-03-19 v1
Abstract
In this paper, we study a class of stochastic Generalized Linear Switched System (GLSS), which includes subclasses of jump-Markov, piecewide-linear and Linear Parameter-Varying (LPV) systems. We prove that the output of such systems can be decomposed into deterministic and stochastic components. Using this decomposition, we show existence of state-space representation in innovation form, and we provide sufficient conditions for such representations to be minimal and unique up to isomorphism.
Keywords
Cite
@article{arxiv.2403.11012,
title = {Towards stochastic realization theory for Generalized Linear Switched Systems with inputs: decomposition into stochastic and deterministic components and existence and uniqueness of innovation form},
author = {Elie Rouphael and Manas Mejari and Mihaly Petreczky and Lotfi Belkoura},
journal= {arXiv preprint arXiv:2403.11012},
year = {2024}
}