Quantized stabilization for stochastic discrete‐time systems with multiplicative noises

Abstract

SUMMARYThis paper considers the problem of quadratic mean‐square stabilization of a class of stochastic linear systems using quantized state feedback. Different from the previous works where the system is restricted to be deterministic, we focus on stochastic systems with multiplicative noises in both the system matrix and the control input. A static quantizer is used in the feedback channel. It is shown that the coarsest quantization density that permits stabilization of a stochastic system with multiplicative noises in the sense of quadratic mean‐square stability is achieved with the use of a logarithmic quantizer, and the coarsest quantization density is determined by an algebraic Riccati equation, which is also the solution to a special stochastic linear control problem. Our work is then extended to exponential quadratic mean‐square stabilization of the same class of stochastic systems. Copyright © 2011 John Wiley & Sons, Ltd.