On Convergence Properties of Shannon Entropy

Convergence properties of Shannon Entropy are studied. In the differential setting, it is shown that weak convergence of probability measures, or convergence in distribution, is not enough for convergence of the associated differential entropies. A general result for the desired differential entropy convergence is provided, taking into account both compactly and uncompactly supported densities. Convergence of differential entropy is also characterized in terms of the Kullback-Liebler discriminant for densities with fairly general supports, and it is shown that convergence in variation of probability measures guarantees such convergence under an appropriate boundedness condition on the densities involved. Results for the discrete setting are also provided, allowing for infinitely supported probability measures, by taking advantage of the equivalence between weak convergence and convergence in variation in this setting.Comment: Submitted to IEEE Transactions on Information Theor

Discrete maximal regularity of time-stepping schemes for fractional evolution equations

In this work, we establish the maximal $\ell^p$-regularity for several time stepping schemes for a fractional evolution model, which involves a fractional derivative of order $\alpha\in(0,2)$, $\alpha\neq 1$, in time. These schemes include convolution quadratures generated by backward Euler method and second-order backward difference formula, the L1 scheme, explicit Euler method and a fractional variant of the Crank-Nicolson method. The main tools for the analysis include operator-valued Fourier multiplier theorem due to Weis [48] and its discrete analogue due to Blunck [10]. These results generalize the corresponding results for parabolic problems

Oscillations in I/O monotone systems under negative feedback

Oscillatory behavior is a key property of many biological systems. The Small-Gain Theorem (SGT) for input/output monotone systems provides a sufficient condition for global asymptotic stability of an equilibrium and hence its violation is a necessary condition for the existence of periodic solutions. One advantage of the use of the monotone SGT technique is its robustness with respect to all perturbations that preserve monotonicity and stability properties of a very low-dimensional (in many interesting examples, just one-dimensional) model reduction. This robustness makes the technique useful in the analysis of molecular biological models in which there is large uncertainty regarding the values of kinetic and other parameters. However, verifying the conditions needed in order to apply the SGT is not always easy. This paper provides an approach to the verification of the needed properties, and illustrates the approach through an application to a classical model of circadian oscillations, as a nontrivial ``case study,'' and also provides a theorem in the converse direction of predicting oscillations when the SGT conditions fail.Comment: Related work can be retrieved from second author's websit

Variance-constrained control for uncertain stochastic systems with missing measurements

Copyright [2005] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to [email protected]. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.In this paper, we are concerned with a new control problem for uncertain discrete-time stochastic systems with missing measurements. The parameter uncertainties are allowed to be norm-bounded and enter into the state matrix. The system measurements may be unavailable (i.e., missing data) at any sample time, and the probability of the occurrence of missing data is assumed to be known. The purpose of this problem is to design an output feedback controller such that, for all admissible parameter uncertainties and all possible incomplete observations, the system state of the closed-loop system is mean square bounded, and the steady-state variance of each state is not more than the individual prescribed upper bound. We show that the addressed problem can be solved by means of algebraic matrix inequalities. The explicit expression of the desired robust controllers is derived in terms of some free parameters, which may be exploited to achieve further performance requirements. An illustrative numerical example is provided to demonstrate the usefulness and flexibility of the proposed design approach

Relaxation of monotone coupling conditions: Poisson approximation and beyond

It is well-known that assumptions of monotonicity in size-bias couplings may be used to prove simple, yet powerful, Poisson approximation results. Here we show how these assumptions may be relaxed, establishing explicit Poisson approximation bounds (depending on the first two moments only) for random variables which satisfy an approximate version of these monotonicity conditions. These are shown to be effective for models where an underlying random variable of interest is contaminated with noise. We also give explicit Poisson approximation bounds for sums of associated or negatively associated random variables. Applications are given to epidemic models, extremes, and random sampling. Finally, we also show how similar techniques may be used to relax the assumptions needed in a Poincar\'e inequality and in a normal approximation result.Comment: 19 page

On control of discrete-time state-dependent jump linear systems with probabilistic constraints: A receding horizon approach

In this article, we consider a receding horizon control of discrete-time state-dependent jump linear systems, particular kind of stochastic switching systems, subject to possibly unbounded random disturbances and probabilistic state constraints. Due to a nature of the dynamical system and the constraints, we consider a one-step receding horizon. Using inverse cumulative distribution function, we convert the probabilistic state constraints to deterministic constraints, and obtain a tractable deterministic receding horizon control problem. We consider the receding control law to have a linear state-feedback and an admissible offset term. We ensure mean square boundedness of the state variable via solving linear matrix inequalities off-line, and solve the receding horizon control problem on-line with control offset terms. We illustrate the overall approach applied on a macroeconomic system