1,665 research outputs found
A class of fast exact Bayesian filters in dynamical models with jumps
In this paper, we focus on the statistical filtering problem in dynamical
models with jumps. When a particular application relies on physical properties
which are modeled by linear and Gaussian probability density functions with
jumps, an usualmethod consists in approximating the optimal Bayesian estimate
(in the sense of the Minimum Mean Square Error (MMSE)) in a linear and Gaussian
Jump Markov State Space System (JMSS). Practical solutions include algorithms
based on numerical approximations or based on Sequential Monte Carlo (SMC)
methods. In this paper, we propose a class of alternative methods which
consists in building statistical models which share the same physical
properties of interest but in which the computation of the optimal MMSE
estimate can be done at a computational cost which is linear in the number of
observations.Comment: 21 pages, 7 figure
Approximation of epidemic models by diffusion processes and their statistical inference
Multidimensional continuous-time Markov jump processes on
form a usual set-up for modeling -like epidemics. However,
when facing incomplete epidemic data, inference based on is not easy
to be achieved. Here, we start building a new framework for the estimation of
key parameters of epidemic models based on statistics of diffusion processes
approximating . First, \previous results on the approximation of
density-dependent -like models by diffusion processes with small diffusion
coefficient , where is the population size, are
generalized to non-autonomous systems. Second, our previous inference results
on discretely observed diffusion processes with small diffusion coefficient are
extended to time-dependent diffusions. Consistent and asymptotically Gaussian
estimates are obtained for a fixed number of observations, which
corresponds to the epidemic context, and for . A
correction term, which yields better estimates non asymptotically, is also
included. Finally, performances and robustness of our estimators with respect
to various parameters such as (the basic reproduction number), ,
are investigated on simulations. Two models, and , corresponding to
single and recurrent outbreaks, respectively, are used to simulate data. The
findings indicate that our estimators have good asymptotic properties and
behave noticeably well for realistic numbers of observations and population
sizes. This study lays the foundations of a generic inference method currently
under extension to incompletely observed epidemic data. Indeed, contrary to the
majority of current inference techniques for partially observed processes,
which necessitates computer intensive simulations, our method being mostly an
analytical approach requires only the classical optimization steps.Comment: 30 pages, 10 figure
Efficient statistical inference for stochastic reaction processes
We address the problem of estimating unknown model parameters and state
variables in stochastic reaction processes when only sparse and noisy
measurements are available. Using an asymptotic system size expansion for the
backward equation we derive an efficient approximation for this problem. We
demonstrate the validity of our approach on model systems and generalize our
method to the case when some state variables are not observed.Comment: 4 pages, 2 figures, 2 tables; typos corrected, remark about Kalman
smoother adde
Fault accommodation controller under Markovian jump linear systems with asynchronous modes
We tackle the fault accommodation control (FAC) in the Markovian jump linear system (MJLS) framework for the discrete-time domain, under the assumption that it is not possible to access the Markov chain mode. This premise brings some challenges since the controllers are no longer allowed to depend on the Markov chain, meaning that there is an asynchronism between the system and the controller modes. To tackle this issue, a hidden Markov chain ((Formula presented.), (Formula presented.)) is used where θ(k) denotes the Markov chain mode, and (Formula presented.) denotes the estimated mode. The main novelty of this work is the design of H∞ and H2 FAC under the MJLS framework considering partial observation of the Markov chain. Both designs are obtained via bilinear matrix inequalities optimization problems, which are solved using coordinate descent algorithm. As secondary results, we present simulations using a two-degree of freedom serial flexible joint robot to illustrate the viability of the proposed approach
- …