17,865 research outputs found
Parameter Estimation via Conditional Expectation --- A Bayesian Inversion
When a mathematical or computational model is used to analyse some system, it
is usual that some parameters resp.\ functions or fields in the model are not
known, and hence uncertain. These parametric quantities are then identified by
actual observations of the response of the real system. In a probabilistic
setting, Bayes's theory is the proper mathematical background for this
identification process. The possibility of being able to compute a conditional
expectation turns out to be crucial for this purpose. We show how this
theoretical background can be used in an actual numerical procedure, and
shortly discuss various numerical approximations
Towards Scalable Synthesis of Stochastic Control Systems
Formal control synthesis approaches over stochastic systems have received
significant attention in the past few years, in view of their ability to
provide provably correct controllers for complex logical specifications in an
automated fashion. Examples of complex specifications of interest include
properties expressed as formulae in linear temporal logic (LTL) or as automata
on infinite strings. A general methodology to synthesize controllers for such
properties resorts to symbolic abstractions of the given stochastic systems.
Symbolic models are discrete abstractions of the given concrete systems with
the property that a controller designed on the abstraction can be refined (or
implemented) into a controller on the original system. Although the recent
development of techniques for the construction of symbolic models has been
quite encouraging, the general goal of formal synthesis over stochastic control
systems is by no means solved. A fundamental issue with the existing techniques
is the known "curse of dimensionality," which is due to the need to discretize
state and input sets and that results in an exponential complexity over the
number of state and input variables in the concrete system. In this work we
propose a novel abstraction technique for incrementally stable stochastic
control systems, which does not require state-space discretization but only
input set discretization, and that can be potentially more efficient (and thus
scalable) than existing approaches. We elucidate the effectiveness of the
proposed approach by synthesizing a schedule for the coordination of two
traffic lights under some safety and fairness requirements for a road traffic
model. Further we argue that this 5-dimensional linear stochastic control
system cannot be studied with existing approaches based on state-space
discretization due to the very large number of generated discrete states.Comment: 22 pages, 3 figures. arXiv admin note: text overlap with
arXiv:1407.273
Distribution-based bisimulation for labelled Markov processes
In this paper we propose a (sub)distribution-based bisimulation for labelled
Markov processes and compare it with earlier definitions of state and event
bisimulation, which both only compare states. In contrast to those state-based
bisimulations, our distribution bisimulation is weaker, but corresponds more
closely to linear properties. We construct a logic and a metric to describe our
distribution bisimulation and discuss linearity, continuity and compositional
properties.Comment: Accepted by FORMATS 201
Symbolic Models for Stochastic Switched Systems: A Discretization and a Discretization-Free Approach
Stochastic switched systems are a relevant class of stochastic hybrid systems
with probabilistic evolution over a continuous domain and control-dependent
discrete dynamics over a finite set of modes. In the past few years several
different techniques have been developed to assist in the stability analysis of
stochastic switched systems. However, more complex and challenging objectives
related to the verification of and the controller synthesis for logic
specifications have not been formally investigated for this class of systems as
of yet. With logic specifications we mean properties expressed as formulae in
linear temporal logic or as automata on infinite strings. This paper addresses
these complex objectives by constructively deriving approximately equivalent
(bisimilar) symbolic models of stochastic switched systems. More precisely,
this paper provides two different symbolic abstraction techniques: one requires
state space discretization, but the other one does not require any space
discretization which can be potentially more efficient than the first one when
dealing with higher dimensional stochastic switched systems. Both techniques
provide finite symbolic models that are approximately bisimilar to stochastic
switched systems under some stability assumptions on the concrete model. This
allows formally synthesizing controllers (switching signals) that are valid for
the concrete system over the finite symbolic model, by means of mature
automata-theoretic techniques in the literature. The effectiveness of the
results are illustrated by synthesizing switching signals enforcing logic
specifications for two case studies including temperature control of a six-room
building.Comment: 25 pages, 4 figures. arXiv admin note: text overlap with
arXiv:1302.386
Probabilistic Computability and Choice
We study the computational power of randomized computations on infinite
objects, such as real numbers. In particular, we introduce the concept of a Las
Vegas computable multi-valued function, which is a function that can be
computed on a probabilistic Turing machine that receives a random binary
sequence as auxiliary input. The machine can take advantage of this random
sequence, but it always has to produce a correct result or to stop the
computation after finite time if the random advice is not successful. With
positive probability the random advice has to be successful. We characterize
the class of Las Vegas computable functions in the Weihrauch lattice with the
help of probabilistic choice principles and Weak Weak K\H{o}nig's Lemma. Among
other things we prove an Independent Choice Theorem that implies that Las Vegas
computable functions are closed under composition. In a case study we show that
Nash equilibria are Las Vegas computable, while zeros of continuous functions
with sign changes cannot be computed on Las Vegas machines. However, we show
that the latter problem admits randomized algorithms with weaker failure
recognition mechanisms. The last mentioned results can be interpreted such that
the Intermediate Value Theorem is reducible to the jump of Weak Weak
K\H{o}nig's Lemma, but not to Weak Weak K\H{o}nig's Lemma itself. These
examples also demonstrate that Las Vegas computable functions form a proper
superclass of the class of computable functions and a proper subclass of the
class of non-deterministically computable functions. We also study the impact
of specific lower bounds on the success probabilities, which leads to a strict
hierarchy of classes. In particular, the classical technique of probability
amplification fails for computations on infinite objects. We also investigate
the dependency on the underlying probability space.Comment: Information and Computation (accepted for publication
Numerical Computation for Backward Doubly SDEs with random terminal time
In this article, we are interested in solving numerically backward doubly
stochastic differential equations (BDSDEs) with random terminal time tau. The
main motivations are giving a probabilistic representation of the Sobolev's
solution of Dirichlet problem for semilinear SPDEs and providing the numerical
scheme for such SPDEs. Thus, we study the strong approximation of this class of
BDSDEs when tau is the first exit time of a forward SDE from a cylindrical
domain. Euler schemes and bounds for the discrete-time approximation error are
provided.Comment: 38, Monte Carlo Methods and Applications (MCMA) 201
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