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Index for Stochastic Linear Discrete-Time Systems

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  • Yan Li
  • Weihai Zhang
  • Xikui Liu

Abstract

This paper discusses the index problem for stochastic linear discrete-time systems. A necessary and sufficient condition of index is given for such systems in finite horizon. It is proved that when the index is greater than a given value, the feasibility of index is equivalent to the solvability of a constrained difference equation. The above result can be applied to the fault detection observer design. Finally, some examples are presented to illustrate the proposed theoretical results.

Suggested Citation

  • Yan Li & Weihai Zhang & Xikui Liu, 2015. "Index for Stochastic Linear Discrete-Time Systems," Discrete Dynamics in Nature and Society, Hindawi, vol. 2015, pages 1-10, October.
    • Handle: RePEc:hin:jnddns:953831
    DOI: 10.1155/2015/953831
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