Input-to-state stability of Euler-Maruyama method for stochastic delay control systems 被引量：2

Input-to-state stability of Euler-Maruyama method for stochastic delay control systems

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摘要 This paper develops the mean-square exponential input-to-state stability（exp-ISS） of the Euler-Maruyama（EM） method for stochastic delay control systems（SDCSs）.The definition of mean-square exp-ISS of numerical methods is established.The conditions of the exact and EM method for an SDCS with the property of mean-square exp-ISS are obtained without involving control Lyapunov functions or functional.Under the global Lipschitz coefficients and mean-square continuous measurable inputs,it is proved that the mean-square exp-ISS of an SDCS holds if and only if that of the EM method is preserved for a sufficiently small step size.The proposed results are evaluated by using numerical experiments to show their effectiveness. This paper develops the mean-square exponential input-to-state stability（exp-ISS） of the Euler-Maruyama（EM） method for stochastic delay control systems（SDCSs）.The definition of mean-square exp-ISS of numerical methods is established.The conditions of the exact and EM method for an SDCS with the property of mean-square exp-ISS are obtained without involving control Lyapunov functions or functional.Under the global Lipschitz coefficients and mean-square continuous measurable inputs,it is proved that the mean-square exp-ISS of an SDCS holds if and only if that of the EM method is preserved for a sufficiently small step size.The proposed results are evaluated by using numerical experiments to show their effectiveness.

作者 Shifang Kuang Feiqi Deng Yunjian Peng

机构地区 College of Automation Science and Engineering

出处《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2013年第2期309-317,共9页 系统工程与电子技术（英文版）

基金 supported by the National Natural Science Foundation of China(61273126 60904032) the Natural Science Foundation of Guangdong Province(10251064101000008)

关键词 Euler-Maruyama（EM） method exponential inputto-state stability（exp-ISS） numerical solution stochastic delay control system（SDCS） time delay Euler-Maruyama（EM） method； exponential inputto-state stability（exp-ISS）； numerical solution； stochastic delay control system（SDCS）； time delay

分类号 TP13 [自动化与计算机技术—控制理论与控制工程]

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参考文献2

1ZHU Qiao HU Guang-Da ZENG Li.Mean-square Exponential Input-to-state Stability of Euler-Maruyama Method Applied to Stochastic Control Systems[J].自动化学报,2010,36(3):406-411. 被引量：4
2Lu Mei Shao Huihe.Robust predictive control of polytopic uncertain systems with both state and input delays[J].Journal of Systems Engineering and Electronics,2007,18(3):616-621. 被引量：4

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