Probabilistic reachable and invariant sets for linear systems with\n correlated disturbance

2020/04/15 by Mirko Fiacchini, Teodoro Álamo, Fiacchini, Mirko +1 · 2 citations
Decision Sciences · Engineering · #Control Systems and Identification #FOS: Electrical engineering #FOS: Mathematics #Fault Detection and Control Systems #Optimization and Control (math.OC) #Probabilistic and Robust Engineering Design #Systems and Control (eess.SY) #electronic engineering #information engineering

paper · pdf · doi:10.48550/arxiv.2004.06960

openalex publication_date 2020/04/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/30

Abstract

In this paper a constructive method to determine and compute probabilistic\nreachable and invariant sets for linear discrete-time systems, excited by a\nstochastic disturbance, is presented. The samples of the disturbance signal are\nnot assumed to be uncorrelated, only a bound on the correlation matrices is\nsupposed to be known. The concept of correlation bound is introduced and\nemployed to determine probabilistic reachable sets and probabilistic invariant\nsets. Constructive methods for their computation, based on convex optimization,\nare given.\n

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