Observer Design for Stochastic Markov Switching Systems with Actuator Saturation

摘要: The direct approach was used to study the stochastic Markov switching system with partly unknown transition probabilities and actuator saturation considering the problem of stochastic stability analysis. Through using free connection weight matrix, the conservation of the system would be decreased. Firstly, for stochastic Markov switching systems, by considering the properties of the relationship between the transition probabilities, the observer was designed to guarantee the stochastic stability of the closed-loop saturated system based on the parameter-dependent Lyapunov function. And then, the largest contraction invariant set in the mean square sense was proposed in the framework of linear matrix inequalities (LMIs). Finally, a numerical example was given to demonstrate the effectiveness of the method.