Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process

1997 ◽  
Vol 31 (2) ◽  
pp. 93-102 ◽  
Author(s):  
Boris M. Miller ◽  
Wolfgang J. Runggaldier
Keyword(s):  
Linear Systems ◽  
Kalman Filtering ◽  
Hidden Markov ◽  
Jump Process ◽  
Markov Jump ◽  
Markov Jump Process

Asynchronous quadratic control for constrained hidden markov jump linear systems with incomplete MTPM and MOCPM

2021 ◽  
Author(s):  
Jin Zhu ◽  
Kai Xia ◽  
Geir E Dullerud
Keyword(s):  
Linear Systems ◽  
Controller Design ◽  
Hidden Markov ◽  
Transition Probability ◽  
Original System ◽  
Transition Probability Matrix ◽  
Markov Jump ◽  
Jump Linear Systems ◽  
Weighting Matrix ◽  
Markov Jump Linear Systems

Abstract This paper investigates the quadratic optimal control problem for constrained Markov jump linear systems with incomplete mode transition probability matrix (MTPM). Considering original system mode is not accessible, observed mode is utilized for asynchronous controller design where mode observation conditional probability matrix (MOCPM), which characterizes the emission between original modes and observed modes is assumed to be partially known. An LMI optimization problem is formulated for such constrained hidden Markov jump linear systems with incomplete MTPM and MOCPM. Based on this, a feasible state-feedback controller can be designed with the application of free-connection weighting matrix method. The desired controller, dependent on observed mode, is an asynchronous one which can minimize the upper bound of quadratic cost and satisfy restrictions on system states and control variables. Furthermore, clustering observation where observed modes recast into several clusters, is explored for simplifying the computational complexity. Numerical examples are provided to illustrate the validity.

Deterministic limit of the stochastic model of chemical reactions with diffusion

1980 ◽  
Vol 12 (02) ◽  
pp. 367-379 ◽  
Author(s):  
L. Arnold ◽  
M. Theodosopulu
Keyword(s):  
Diffusion Equation ◽  
Stochastic Model ◽  
Chemical Reactions ◽  
Reaction Diffusion ◽  
Jump Process ◽  
Reaction Diffusion Equation ◽  
Markov Jump ◽  
Markov Jump Process ◽  
Deterministic Limit

Conditions are given for which the Markov jump process describing the stochastic model of chemical reactions with diffusion converges to the solution of the corresponding deterministic reaction–diffusion equation.

Characterization of the Output Rate Process for a Markovian Storage Model

1998 ◽  
Vol 35 (1) ◽  
pp. 184-199 ◽  
Author(s):  
Samuli Aalto
Keyword(s):  
Fluid Model ◽  
Jump Process ◽  
Rate Process ◽  
Output Rate ◽  
Markov Jump ◽  
Storage Model ◽  
Markov Jump Process ◽  
Queueing Process ◽  
Level Process

We consider storage models where the input rate and the demand are modulated by a Markov jump process. One particular example from teletraffic theory is a fluid model of a multiplexer loaded by exponential on-off sources. Although the storage level process has been widely studied, little attention has been paid to the output rate process. We will show that, under certain assumptions, there exists another Markov jump process that modulates the output rate. The modulating process is explicitly constructed. It turns out to be a modification of a GI/G/1 queueing process

scholarly journals A Markov jump process modelling animal group size statistics

2020 ◽  
Vol 18 (1) ◽  
pp. 55-89
Author(s):  
Pierre Degond ◽  
Maximilian Engel ◽  
Jian-Guo Liu ◽  
Robert L. Pego
Keyword(s):  
Group Size ◽  
Jump Process ◽  
Process Modelling ◽  
Markov Jump ◽  
Animal Group ◽  
Markov Jump Process
Sign in / Sign up

Export Citation Format

Share Document