A maximum entropy approach to the moment closure problem for Stochastic Hybrid Systems at equilibrium

Jiangmeng Zhang, Lee Xavier DeVille, Sairaj Dhople, Alejandro Dominguez-Garcia

Research output: Contribution to journalConference article

Abstract

We study the problem that arises in a class of stochastic processes referred to as Stochastic Hybrid Systems (SHS) when computing the moments of the states using the generator of the process and Dynkin's formula. We focus on the case when the SHS is at equilibrium or approaching equilibrium. We present a family of such processes for which infinite-dimensional linear-system analysis tools are ineffective, and discuss a few differing perspectives on how to tackle such problems by assuming that the SHS state distribution is such that its entropy is maximum. We also provide a numerical algorithm that allows us to efficiently compute maximum entropy solutions, and compare results with Monte Carlo simulations for some illustrative SHS.

Original languageEnglish (US)
Article number7039471
Pages (from-to)747-752
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
Volume2015-February
Issue numberFebruary
DOIs
StatePublished - Jan 1 2014
Event2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014 - Los Angeles, United States
Duration: Dec 15 2014Dec 17 2014

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Moment Closure
Maximum Entropy
Hybrid systems
Hybrid Systems
Stochastic Systems
Entropy
Infinite-dimensional Systems
Entropy Solution
Systems Analysis
Random processes
Numerical Algorithms
Linear systems
Stochastic Processes
Monte Carlo Simulation
Systems analysis
Linear Systems
Generator
Moment
Computing

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

Cite this

A maximum entropy approach to the moment closure problem for Stochastic Hybrid Systems at equilibrium. / Zhang, Jiangmeng; DeVille, Lee Xavier; Dhople, Sairaj; Dominguez-Garcia, Alejandro.

In: Proceedings of the IEEE Conference on Decision and Control, Vol. 2015-February, No. February, 7039471, 01.01.2014, p. 747-752.

Research output: Contribution to journalConference article

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