On persistent excitation for linear systems with stochastic coefficients

David Levanony; Peter E. Caines

doi:10.1137/S0363012996300458

On persistent excitation for linear systems with stochastic coefficients

David Levanony
, Peter E. Caines

Department of Electrical & Computer Engineering

Research output: Contribution to journal › Article › peer-review

15 Scopus citations

Abstract

The persistent excitation (PE) of a Wiener input process for linear stochastic systems with time varying, convergent, random coefficients is discussed. This phenomenon is observed when asymptotic noise controllability holds. The result of PE is in the sense that the minimum eigenvalue of the integrated outer product of the state process is of O(t).

Original language	English
Pages (from-to)	882-897
Number of pages	16
Journal	SIAM Journal on Control and Optimization
Volume	40
Issue number	3
DOIs	https://doi.org/10.1137/S0363012996300458
State	Published - 8 Jul 2002

Keywords

Convergent coefficients
Linear stochastic systems
Noise controllability
Persistent excitation

ASJC Scopus subject areas

Control and Optimization
Applied Mathematics

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10.1137/S0363012996300458

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title = "On persistent excitation for linear systems with stochastic coefficients",

abstract = "The persistent excitation (PE) of a Wiener input process for linear stochastic systems with time varying, convergent, random coefficients is discussed. This phenomenon is observed when asymptotic noise controllability holds. The result of PE is in the sense that the minimum eigenvalue of the integrated outer product of the state process is of O(t).",

keywords = "Convergent coefficients, Linear stochastic systems, Noise controllability, Persistent excitation",

author = "David Levanony and Caines, \{Peter E.\}",

year = "2002",

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doi = "10.1137/S0363012996300458",

language = "English",

volume = "40",

pages = "882--897",

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TY - JOUR

T1 - On persistent excitation for linear systems with stochastic coefficients

AU - Levanony, David

AU - Caines, Peter E.

PY - 2002/7/8

Y1 - 2002/7/8

N2 - The persistent excitation (PE) of a Wiener input process for linear stochastic systems with time varying, convergent, random coefficients is discussed. This phenomenon is observed when asymptotic noise controllability holds. The result of PE is in the sense that the minimum eigenvalue of the integrated outer product of the state process is of O(t).

AB - The persistent excitation (PE) of a Wiener input process for linear stochastic systems with time varying, convergent, random coefficients is discussed. This phenomenon is observed when asymptotic noise controllability holds. The result of PE is in the sense that the minimum eigenvalue of the integrated outer product of the state process is of O(t).

KW - Convergent coefficients

KW - Linear stochastic systems

KW - Noise controllability

KW - Persistent excitation

UR - https://www.scopus.com/pages/publications/0036287872

U2 - 10.1137/S0363012996300458

DO - 10.1137/S0363012996300458

M3 - Article

AN - SCOPUS:0036287872

SN - 0363-0129

VL - 40

SP - 882

EP - 897

JO - SIAM Journal on Control and Optimization

JF - SIAM Journal on Control and Optimization

IS - 3

ER -

On persistent excitation for linear systems with stochastic coefficients

Abstract

Keywords

ASJC Scopus subject areas

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