Toward Stochastic Realization Theory for Generalized Linear Switched Systems With Inputs: Decomposition Into Stochastic and Deterministic Components and Existence and Uniqueness of Innovation Form

Abstract

We study a class of stochastic Generalized Linear Switched System (GLSS), which includes subclasses of jump-Markov, piecewise-linear and Linear Parameter-Varying (LPV) systems. We prove that the output of such systems can be decomposed into deterministic and stochastic components. Using this decomposition, we show existence of state-space representation in innovation form, and we provide sufficient conditions for such representations to be minimal and unique up to isomorphism.