On stochastic linear systems with zonotopic support sets

• Autores: Mario E. Villanueva, Boris Houska
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Nº. 111, 2020
• Idioma: inglés
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• Resumen

  • This paper analyzes stochastic linear discrete-time processes, whose process noise sequence consists of independent and uniformly distributed random variables on given zonotopes. We propose a cumulant-based approach for approximating both the transient and limit distributions of the associated state sequence. The method relies on a novel class of k-symmetric Lyapunov equations, which are used to construct explicit expressions for the cumulants. The state distribution is recovered via a generalized Gram–Charlier expansion with respect to products of a multivariate variant of Wigner’s semicircle distribution using Chebyshev polynomials of the second kind. This expansion converges uniformly, under surprisingly mild conditions, to the exact state distribution of the system. A robust feedback control synthesis problem is used to illustrate the proposed approach.