A New Approach to Detectability of Discrete-Time Infinite Markov Jump Linear Systems

Abstract

This paper deals with detectability for the class of discrete-time Markov jump linear systems (MJLS) with the underlying Markov chain having countably infinite state space. The formulation here relates the convergence of the output with that of the state variables. Our approach introduces invariant subspaces for the autonomous system and exhibits the role that they play. This allows us to show that detectability can be written equivalently in term of two conditions: stability of the autonomous system in a certain invariant space and convergence of general state trajectories to this invariant space under convergence of input and output variables. This, in turn, provides the tools to show that detectability here generalizes uniform observability ideas as well as previous detectability notions for MJLS with finite state Markov chain, and allows us to solve the jump-linear-quadratic control problem. In addition, it is shown for the MJLS with finite Markov state that the second condition is redundant and that detectability retrieves previously well-known concepts in their respective scenarios.