24,886 research outputs found
Robust H∞ filtering for markovian jump systems with randomly occurring nonlinearities and sensor saturation: The finite-horizon case
This article is posted with the permission of IEEE - Copyright @ 2011 IEEEThis paper addresses the robust H∞ filtering problem for a class of discrete time-varying Markovian jump systems with randomly occurring nonlinearities and sensor saturation. Two kinds of transition probability matrices for the Markovian process are considered, namely, the one with polytopic uncertainties and the one with partially unknown entries. The nonlinear disturbances are assumed to occur randomly according to stochastic variables satisfying the Bernoulli distributions. The main purpose of this paper is to design a robust filter, over a given finite-horizon, such that the H∞ disturbance attenuation level is guaranteed for the time-varying Markovian jump systems in the presence of both the randomly occurring nonlinearities and the sensor saturation. Sufficient conditions are established for the existence of the desired filter satisfying the H∞ performance constraint in terms of a set of recursive linear matrix inequalities. Simulation results demonstrate the effectiveness of the developed filter design scheme.This work was supported in part by the National Natural Science Foundation
of China under Grants 61028008, 60825303, and 61004067, National 973 Project under Grant 2009CB320600, the Key Laboratory of Integrated Automation for the Process Industry (Northeastern University) from the Ministry of Education of China, the Engineering and Physical Sciences Research Council (EPSRC) of the U.K., under Grant GR/S27658/01, the Royal Society of the
U.K., and the Alexander von Humboldt Foundation of Germany
Variational approach for learning Markov processes from time series data
Inference, prediction and control of complex dynamical systems from time
series is important in many areas, including financial markets, power grid
management, climate and weather modeling, or molecular dynamics. The analysis
of such highly nonlinear dynamical systems is facilitated by the fact that we
can often find a (generally nonlinear) transformation of the system coordinates
to features in which the dynamics can be excellently approximated by a linear
Markovian model. Moreover, the large number of system variables often change
collectively on large time- and length-scales, facilitating a low-dimensional
analysis in feature space. In this paper, we introduce a variational approach
for Markov processes (VAMP) that allows us to find optimal feature mappings and
optimal Markovian models of the dynamics from given time series data. The key
insight is that the best linear model can be obtained from the top singular
components of the Koopman operator. This leads to the definition of a family of
score functions called VAMP-r which can be calculated from data, and can be
employed to optimize a Markovian model. In addition, based on the relationship
between the variational scores and approximation errors of Koopman operators,
we propose a new VAMP-E score, which can be applied to cross-validation for
hyper-parameter optimization and model selection in VAMP. VAMP is valid for
both reversible and nonreversible processes and for stationary and
non-stationary processes or realizations
Efficient Bayesian estimation of Markov model transition matrices with given stationary distribution
Direct simulation of biomolecular dynamics in thermal equilibrium is
challenging due to the metastable nature of conformation dynamics and the
computational cost of molecular dynamics. Biased or enhanced sampling methods
may improve the convergence of expectation values of equilibrium probabilities
and expectation values of stationary quantities significantly. Unfortunately
the convergence of dynamic observables such as correlation functions or
timescales of conformational transitions relies on direct equilibrium
simulations. Markov state models are well suited to describe both, stationary
properties and properties of slow dynamical processes of a molecular system, in
terms of a transition matrix for a jump process on a suitable discretiza- tion
of continuous conformation space. Here, we introduce statistical estimation
methods that allow a priori knowledge of equilibrium probabilities to be
incorporated into the estimation of dynamical observables. Both, maximum
likelihood methods and an improved Monte Carlo sampling method for reversible
transition ma- trices with fixed stationary distribution are given. The
sampling approach is applied to a toy example as well as to simulations of the
MR121-GSGS-W peptide, and is demonstrated to converge much more rapidly than a
previous approach in [F. Noe, J. Chem. Phys. 128, 244103 (2008)]Comment: 15 pages, 8 figure
Conditional Markov chain and its application in economic time series analysis
Motivated by the great moderation in major U.S. macroeconomic time series, we formulate the regime switching problem through a conditional Markov chain. We model the long-run volatility change as a recurrent structure change, while short-run changes in the mean growth rate as regime switches. Both structure and regime are unobserved. The structure is assumed to be Markovian. Conditioning on the structure, the regime is also Markovian, whose transition matrix is structure-dependent. This formulation imposes interpretable restrictions on the Hamilton Markov switching model. Empirical studies show that this restricted model well identifies both short-run regime switches and long-run structure changes in the U.S. macroeconomic data.Markov regime switching; Conditional Markov chain
Statistical framework for video decoding complexity modeling and prediction
Video decoding complexity modeling and prediction is an increasingly important issue for efficient resource utilization in a variety of applications, including task scheduling, receiver-driven complexity shaping, and adaptive dynamic voltage scaling. In this paper we present a novel view of this problem based on a statistical framework perspective. We explore the statistical structure (clustering) of the execution time required by each video decoder module (entropy decoding, motion compensation, etc.) in conjunction with complexity features that are easily extractable at encoding time (representing the properties of each module's input source data). For this purpose, we employ Gaussian mixture models (GMMs) and an expectation-maximization algorithm to estimate the joint execution-time - feature probability density function (PDF). A training set of typical video sequences is used for this purpose in an offline estimation process. The obtained GMM representation is used in conjunction with the complexity features of new video sequences to predict the execution time required for the decoding of these sequences. Several prediction approaches are discussed and compared. The potential mismatch between the training set and new video content is addressed by adaptive online joint-PDF re-estimation. An experimental comparison is performed to evaluate the different approaches and compare the proposed prediction scheme with related resource prediction schemes from the literature. The usefulness of the proposed complexity-prediction approaches is demonstrated in an application of rate-distortion-complexity optimized decoding
Maximum Entropy Limit of Small-scale Magnetic Field Fluctuations in the Quiet Sun
The observed magnetic field on the solar surface is characterized by a very
complex spatial and temporal behavior. Although feature-tracking algorithms
have allowed us to deepen our understanding of this behavior, subjectivity
plays an important role in the identification and tracking of such features. In
this paper, we continue studies Gorobets, A. Y., Borrero, J. M., & Berdyugina,
S. 2016, ApJL, 825, L18 of the temporal stochasticity of the magnetic field on
the solar surface without relying either on the concept of magnetic features or
on subjective assumptions about their identification and interaction. We
propose a data analysis method to quantify fluctuations of the line-of-sight
magnetic field by means of reducing the temporal field's evolution to the
regular Markov process. We build a representative model of fluctuations
converging to the unique stationary (equilibrium) distribution in the long time
limit with maximum entropy. We obtained different rates of convergence to the
equilibrium at fixed noise cutoff for two sets of data. This indicates a strong
influence of the data spatial resolution and mixing-polarity fluctuations on
the relaxation process. The analysis is applied to observations of magnetic
fields of the relatively quiet areas around an active region carried out during
the second flight of the Sunrise/IMaX and quiet Sun areas at the disk center
from the Helioseismic and Magnetic Imager on board the Solar Dynamics
Observatory satellite.Comment: 11 pages, 5 figures, The Astrophysical Journal Supplement Series
(accepted
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