α− dissipative filtering for Singular Markov jump system with time delays

This paper considers the [Formula: see text] dissipative filtering problem for a class of Singular Markov jump systems (SMJSs) with distributed time delays and discrete time delays. First, using Lyapunov’s stability theory and combining delay partitioning technique, integral partitioning technique, and free weight matrix method, the sufficient conditions for stochastic admissibility and [Formula: see text] dissipation of system are studied. Then, a filtering design method based on linear matrix inequalities (LMIs) is given to make the filtering error system stochastically admissible and [Formula: see text] dissipative. Finally, numerical simulations verify the effectiveness of the resulting method.

Minimum entropy production, detailed balance and Wasserstein distance for continuous-time Markov processes

We investigate the problem of minimizing the entropy production for a physical process that can be described in terms of a Markov jump dynamics. We show that, without any further constraints, a given time-evolution may be realized at arbitrarily small entropy production, yet at the expense of diverging activity. For a fixed activity, we find that the dynamics that minimizes the entropy production is given in terms of conservative forces. The value of the minimum entropy production is expressed in terms of the graph-distance based Wasserstein distance between the initial and final configuration. This yields a new kind of speed limit relating dissipation, the average number of transitions and the Wasserstein distance. It also allows us to formulate the optimal transport problem on a graph in term of a continuous-time interpolating dynamics, in complete analogy to the continuous space setting. We demonstrate our findings for simple state networks, a time-dependent pump and for spin flips in the Ising model.

Automatic Control for Time Delay Markov Jump Systems under Polytopic Uncertainties

The Markov jump systems (MJSs) are a special case of parametric switching system. However, we know that time delay inevitably exists in many practical systems, and is known as the main source of efficiency reduction, and even instability. In this paper, the stochastic stable control design is discussed for time delay MJSs. In this regard, first, the problem of modeling of MJSs and their stability analysis using Lyapunov-Krasovsky functions is studied. Then, a state-feedback controller (SFC) is designed and its stability is proved on the basis of the Lyapunov theorem and linear matrix inequalities (LMIs), in the presence of polytopic uncertainties and time delays. Finally, by various simulations, the accuracy and efficiency of the proposed methods for robust stabilization of MJSs are demonstrated.

Optimal Stabilization of Linear Stochastic System with Statistically Uncertain Piecewise Constant Drift

The paper presents an optimal control problem for the partially observable stochastic differential system driven by an external Markov jump process. The available controlled observations are indirect and corrupted by some Wiener noise. The goal is to optimize a linear function of the state (output) given a general quadratic criterion. The separation principle, verified for the system at hand, allows examination of the control problem apart from the filter optimization. The solution to the latter problem is provided by the Wonham filter. The solution to the former control problem is obtained by formulating an equivalent control problem with a linear drift/nonlinear diffusion stochastic process and with complete information. This problem, in turn, is immediately solved by the application of the dynamic programming method. The applicability of the obtained theoretical results is illustrated by a numerical example, where an optimal amplification/stabilization problem is solved for an unstable externally controlled step-wise mechanical actuator.

Jump processes as generalized gradient flows

We have created a functional framework for a class of non-metric gradient systems. The state space is a space of nonnegative measures, and the class of systems includes the Forward Kolmogorov equations for the laws of Markov jump processes on Polish spaces. This framework comprises a definition of a notion of solutions, a method to prove existence, and an archetype uniqueness result. We do this by using only the structure that is provided directly by the dissipation functional, which need not be homogeneous, and we do not appeal to any metric structure.