4,406 research outputs found
Bounding Mean First Passage Times in Population Continuous-Time Markov Chains
We consider the problem of bounding mean first passage times and reachability probabilities for the class of population continuous-time Markov chains, which capture stochastic interactions between groups of identical agents. The quantitative analysis of such models is notoriously difficult since typically neither state-based numerical approaches nor methods based on stochastic sampling give efficient and accurate results. Here, we propose a novel approach that leverages techniques from martingale theory and stochastic processes to generate constraints on the statistical moments of first passage time distributions. These constraints induce a semi-definite program that can be used to compute exact bounds on reachability probabilities and mean first passage times without numerically solving the transient probability distribution of the process or sampling from it. We showcase the method on some test examples and tailor it to models exhibiting multimodality, a class of particularly challenging scenarios from biology
Sampling-based Approximations with Quantitative Performance for the Probabilistic Reach-Avoid Problem over General Markov Processes
This article deals with stochastic processes endowed with the Markov
(memoryless) property and evolving over general (uncountable) state spaces. The
models further depend on a non-deterministic quantity in the form of a control
input, which can be selected to affect the probabilistic dynamics. We address
the computation of maximal reach-avoid specifications, together with the
synthesis of the corresponding optimal controllers. The reach-avoid
specification deals with assessing the likelihood that any finite-horizon
trajectory of the model enters a given goal set, while avoiding a given set of
undesired states. This article newly provides an approximate computational
scheme for the reach-avoid specification based on the Fitted Value Iteration
algorithm, which hinges on random sample extractions, and gives a-priori
computable formal probabilistic bounds on the error made by the approximation
algorithm: as such, the output of the numerical scheme is quantitatively
assessed and thus meaningful for safety-critical applications. Furthermore, we
provide tighter probabilistic error bounds that are sample-based. The overall
computational scheme is put in relationship with alternative approximation
algorithms in the literature, and finally its performance is practically
assessed over a benchmark case study
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