Search results for "Markov process"

On the convergence of unconstrained adaptive Markov chain Monte Carlo algorithms

2010

H<inf>∞</inf> control of markovian switching systems with time-delays: Applied to DC-DC converters

2011

The DC-DC switching power converters are highly nonlinear systems. Consequently, the conventional linear controls based on averaging and linearization techniques will result in poor dynamic performance or system instability. In order to resolve this problem, in this paper a robust state feedback H∞ control is proposed for these systems under Markovian switching with mixed discrete, neutral and distributed delays. Based on the Lyapunov-Krasovskii functional theory, some required sufficient conditions are established in terms of delay-dependent linear matrix inequalities for the stochastic stability and stabilization of the considered system using some free matrices. The desired control is de…

Observer-based finite-time control for discrete fuzzy jump nonlinear systems with time delays

2013

This paper investigates the problem of observer-based finite-time H∞ control for a family of discrete jump nonlinear systems with time delays represented by Takagi-Sugeno (T-S) model. The main contribution of this paper is to design an observer-based finite-time H∞ controller such that the resulting closed-loop system is stochastic finite-time bounded and satisfies a prescribed H∞ disturbance attenuation level over the given finite-time interval. Sufficient criteria on stochastic finite-time H∞ stabilization via observer-based fuzzy state feedback are provided for the solvability of the problem, which can be tackled by a feasibility problem in terms of linear matrix inequalities. A simulati…

Finite-time stabilization for discrete fuzzy jump nonlinear systems with time delays

2013

This paper is concerned with the problem of finite-time H∞ control for a class of discrete-time Markovian jump nonlinear systems with time delays represented by Takagi-Sugeno (T-S) model. First, by using fuzzy stochastic Lyapunov-Krasovskii functional approach, sufficient conditions are derived such that the resulting close-loop system is stochastic finite-time bounded and satisfies a prescribed H∞ disturbance attenuation level in a given finite-time interval. Second, sufficient criteria on stochastic finite-time H∞ stabilization via fuzzy state feedback are provided, and the fuzzy state feedback controller is designed by solving an optimization problem in terms of linear matrix inequalitie…

Comments on “Finite-Time $H_{\infty }$ Fuzzy Control of Nonlinear Jump Systems With Time Delays Via Dynamic Observer-Based State Feedback”

2014

This paper investigates a defect appearing in “Finite-time H∞ fuzzy control of nonlinear jump systems with time delays via dynamic observer-based state feedback,” which the observer-based finite-time H∞ controller via dynamic observer-based state feedback could not ensuring stochastic finite-time boundedness, and satisfying a prescribed level of H∞ disturbance attenuation for the resulting closed-loop error fuzzy Markov jump systems. The corrected results are presented, and the improved optimal algorithms and new simulation results are also provided in this paper.

A sliding mode approach to H∞ non-fragile observer-based control design for uncertain Markovian neutral-type stochastic systems

2015

This paper is focused on designing an H ∞ sliding-mode control for a class of neutral-type stochastic systems with Markovian switching parameters and nonlinear uncertainties. An H ∞ non-fragile observer subjected to the transition rates of the switching mode is firstly constructed. By some specified matrices, the connections among the designed sliding surfaces corresponding to every mode are established. Then, the state-estimation-based sliding mode control law is designed to guarantee the reachability of the sliding surface in finite time interval. Furthermore, a stochastic stability criterion is established for all admissible uncertainties, which can guarantee the error system and sliding…

Non Markovian Behavior of the Boltzmann-Grad Limit of Linear Stochastic Particle Systems

2007

We will review some results which illustrate how the distribution of obstacles and the shape of the characteristic curves influence the convergence of the probability density of linear stochastic particle systems to the one particle probability density associated with a Markovian process in the Boltzmann-Grad asymptotics.

Scaling and data collapse for the mean exit time of asset prices

2005

We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both a two-state and a three-state Markov chain models. The analytical results obtained with the two-state Markov chain model …

Non-Markovian dynamics from band edge effects and static disorder

2017

It was recently shown [S. Lorenzo et al., Sci. Rep. 7, 42729 (2017)] that the presence of static disorder in a bosonic bath - whose normal modes thus become all Anderson-localised - leads to non-Markovianity in the emission of an atom weakly coupled to it (a process which in absence of disorder is fully Markovian). Here, we extend the above analysis beyond the weak-coupling regime for a finite-band bath so as to account for band edge effects. We study the interplay of these with static disorder in the emergence of non-Markovian behaviour in terms of a suitable non-Markovianity measure.

System-environment correlations and Markovian embedding of quantum non-Markovian dynamics

2018

We study the dynamics of a quantum system whose interaction with an environment is described by a collision model, i.e. the open dynamics is modelled through sequences of unitary interactions between the system and the individual constituents of the environment, termed "ancillas", which are subsequently traced out. In this setting non-Markovianity is introduced by allowing for additional unitary interactions between the ancillas. For this model, we identify the relevant system-environment correlations that lead to a non-Markovian evolution. Through an equivalent picture of the open dynamics, we introduce the notion of "memory depth" where these correlations are established between the syste…