Noise-intensity sensitivity in optimal stochastic systems.
Optimal stochastic control systems design, deriving sensitivity equation for analyzing optimal performance index sensitivity to variations in random signal variance parameter
Dorato, P.↗
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Results for “Stochastic System”
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Analysis of bilinear stochastic systems
Analysis of stochastic dynamical systems that involve multiplicative (bilinear) noise processes is considered. After defining the systems of interest, the evolution of the moments of such systems, the question of stochastic stability, and estimation for bilinear stochastic systems are discussed. Both exact and approximate methods of analysis are introduced, and, in particular, the uses of Lie-theoretic concepts and harmonic analysis are discussed.
Willsky, A. S.↗
Analysis of bilinear stochastic systems
Analysis of stochastic dynamical systems that involve multiplicative (bilinear) noise processes. After defining the systems of interest, consideration is given to the evolution of the moments of such systems, the question of stochastic stability, and estimation for bilinear stochastic systems. Both exact and approximate methods of analysis are introduced, and, in particular, the uses of Lie-theoretic concepts and harmonic analysis are discussed.
Willsky, A. S.↗
Low-dimensional behavior and symmetry breaking of stochastic systems near criticality - Can these effects be observed in space and in the laboratory?
We demonstrate that nonlinear stochastic systems near criticality (including forced and self-organized criticality) will generally exhibit low-dimensional behavior. We give a connection between the fractal dimensions of finite-dimensional chaotic systems and the anomalous dimensions in stochastic systems near criticality. The effect of additional random noise on stochastic systems will be delineated in terms of the crossover phenomenon between competing criticalities. The possibility of observing such effects in space (such as the onset of substorms) and in the laboratory (such as stochastic particle heating in 'noisy' magnetic fields) will be discussed.
Chang, Tom↗
Path integrals, differential renormalization-group, and stochastic systems near criticality
It is demonstrated, using the techniques of path integrals and renormalization-group, that nonlinear stochastic systems near criticality (including self-organized criticality) generally exhibit low-dimensional behavior. The symmetry which characterizes a particular criticality can be broken by the appearance of relevant scaling fields. A connection is made between the fractal dimensions of finite-dimensional chaotic systems and the anomalous dimensions in stochastic systems near criticality. The effect of additional random noise on stochastic systems is also delineated.
Chang, Tom↗
Estimation and Analysis of Nonlinear Stochastic Systems
The algebraic and geometric structures of certain classes of nonlinear stochastic systems were exploited in order to obtain useful stability and estimation results. The class of bilinear stochastic systems (or linear systems with multiplicative noise) was discussed. The stochastic stability of bilinear systems driven by colored noise was considered. Approximate methods for obtaining sufficient conditions for the stochastic stability of bilinear systems evolving on general Lie groups were discussed. Two classes of estimation problems involving bilinear systems were considered. It was proved that, for systems described by certain types of Volterra series expansions or by certain bilinear equations evolving on nilpotent or solvable Lie groups, the optimal conditional mean estimator consists of a finite dimensional nonlinear set of equations. The theory of harmonic analysis was used to derive suboptimal estimators for bilinear systems driven by white noise which evolve on compact Lie groups or homogeneous spaces.
Marcus, S. I.↗
On the periodic coordination of linear stochastic systems
The decentralized stochastic control of a linear dynamic system consisting of several subsystems is considered. A two-level approach is used by the introduction of a coordinator who collects measurements from the local controllers periodically and in return transmits coordinating parameters. Two types of coordination are considered: open-loop feedback and closed loop. The resulting control laws are found to be intuitively attractive.
Chong, C.-Y.↗
On the status of optimal control and stability for stochastic systems.
Optimal control and stability for stochastic systems, viewing linear diffusion models based upon Gaussian-Markov process as finite dimensional linear system driven by white noise
SYSTEM STABILITY↗
An identification algorithm for linear stochastic systems with time delays
Linear discrete stochastic control systems containing unknown multiple time delays, plant parameters and noise variances are considered. An algorithm is established which uses the maximum-likelihood technique to identify the unknown parameters. An estimated likelihood function is evaluated based on the previous parameter estimates, which in turn generates a new descent direction vector to update the unknown parameters. The delays and plant parameters are identified in their respective parameter spaces. An example of a second-order stochastic system has been implemented by digital simulation to demonstrate the applicability of the algorithm.
Leondes, C. T.↗
On simultaneous choice of dynamic control and measurement strategies for stochastic systems.
Consideration of stochastic optimal control problems in which the measurement equation contains a control variable. Conditions under which it is possible to separately optimize the dynamic and measurement controls are studied, with particular emphasis on showing (by counterexample) that certain results already available for the linear-Gaussian-quadratic case do not extend to more general problems. Conditions under which the extension is possible are discussed.
Kramer, L. C.↗
On the evaluation of expected performance cost for partially observed closed-loop stochastic systems
New methods are presented for evaluating the expected performance cost of partially observed closed-loop stochastic systems. When the variances of the process statistics are small, a linearized model of the closed-loop stochastic system is defined for which the expected cost can be evaluated by recursion on a set of purely deterministic difference equations. When the variances of the process statistics are large, the linearized model can be used in the control variate method of variance reduction for reducing the number of sample paths required for effective Monte Carlo estimation.
Bayard, D. S.↗
Minimum principle for a nonequilibrium stochastic system.
Minimum principle characterizing steady state of linear stochastic system found by using urn model
STOCHASTIC PROCESS↗
Identification of linear stochastic systems through projection filters
A novel method is presented for identifying a state-space model and a state estimator for linear stochastic systems from input and output data. The method is primarily based on the relationship between the state-space model and the finite-difference model of linear stochastic systems derived through projection filters. It is proved that least-squares identification of a finite difference model converges to the model derived from the projection filters. System pulse response samples are computed from the coefficients of the finite difference model.
Chen, Chung-Wen↗
Optimal control of linear stochastic systems with measurement errors
Statistical feedback optimization of linear stochastic systems with measurement errors
Deyst, J. J., Jr.↗
Model transformations for state-space self-tuning control of multivariable stochastic systems
The design of self-tuning controllers for multivariable stochastic systems is considered analytically. A long-division technique for finding the similarity transformation matrix and transforming the estimated left MFD to the right MFD is developed; the derivation is given in detail, and the procedures involved are briefly characterized.
Shieh, Leang S.↗
Optimal measurement strategies for linear stochastic systems
Iterative digital computer algorithm for solving optimization problems for linear stochastic systems
Athans, M.↗
Linear regulator design for stochastic systems by a multiple time scales method
A hierarchically-structured, suboptimal controller for a linear stochastic system composed of fast and slow subsystems is considered. The controller is optimal in the limit as the separation of time scales of the subsystems becomes infinite. The methodology is illustrated by design of a controller to suppress the phugoid and short period modes of the longitudinal dynamics of the F-8 aircraft.
Teneketzis, D.↗
Control of nonlinear stochastic systems using adaptive estimation
A general procedure for the design of a digital controller for nonlinear stochastic systems is presented; the emphasis is on development of partitioned-adaptive control techniques which provide rapid tracking of the system state vector to follow rapid trajectory variations. Tests involving the control of a low-order nonlinear oscillator suggest that the procedure yields an effective method for achieving closed-loop performance, despite the difficulty of the control problem
Vanlandingham, H. F.↗