Stochastic robustness of linear time-invariant control systems
A simple numerical procedure for estimating the stochastic robustness of a linear, time-invariant system is described. Monte Carlo evaluation of the system's eigenvalues allows the probability of instability and the related stochastic root locus to be estimated. This definition of robustness is an alternative to existing deterministic definitions that address both structured and unstructured parameter variations directly. This analysis approach treats not only Gaussian parameter uncertainties but also non-Gaussian cases, including uncertain-but-bounded variations. Trivial extensions of the procedure permit alternate discriminants to be considered. Thus the probabilities that stipulated degrees of instability will be exceeded or that closed-loop roots will leave desirable regions can also be estimated. Results are particularly amenable to graphical presentation.