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

Jiangmeng Zhang; Lee Deville; Sairaj Dhople; Alejandro D. Dominguez-Garcia

doi:10.1109/CDC.2014.7039471

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

Jiangmeng Zhang, Lee Deville, Sairaj Dhople, Alejandro D. Dominguez-Garcia

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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 language	English (US)
Title of host publication	53rd IEEE Conference on Decision and Control,CDC 2014
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	747-752
Number of pages	6
Edition	February
ISBN (Electronic)	9781479977468
DOIs	https://doi.org/10.1109/CDC.2014.7039471
State	Published - 2014
Event	2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014 - Los Angeles, United States Duration: Dec 15 2014 → Dec 17 2014

Publication series

Name	Proceedings of the IEEE Conference on Decision and Control
Number	February
Volume	2015-February
ISSN (Print)	0743-1546
ISSN (Electronic)	2576-2370

Other

Other	2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014
Country/Territory	United States
City	Los Angeles
Period	12/15/14 → 12/17/14

ASJC Scopus subject areas

Control and Systems Engineering
Modeling and Simulation
Control and Optimization

Online availability

10.1109/CDC.2014.7039471

Library availability

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Cite this

Zhang, J., Deville, L., Dhople, S., & Dominguez-Garcia, A. D. (2014). A maximum entropy approach to the moment closure problem for Stochastic Hybrid Systems at equilibrium. In 53rd IEEE Conference on Decision and Control,CDC 2014 (February ed., pp. 747-752). Article 7039471 (Proceedings of the IEEE Conference on Decision and Control; Vol. 2015-February, No. February). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CDC.2014.7039471

A maximum entropy approach to the moment closure problem for Stochastic Hybrid Systems at equilibrium. / Zhang, Jiangmeng; Deville, Lee; Dhople, Sairaj et al.
53rd IEEE Conference on Decision and Control,CDC 2014. February. ed. Institute of Electrical and Electronics Engineers Inc., 2014. p. 747-752 7039471 (Proceedings of the IEEE Conference on Decision and Control; Vol. 2015-February, No. February).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Zhang, J, Deville, L, Dhople, S & Dominguez-Garcia, AD 2014, A maximum entropy approach to the moment closure problem for Stochastic Hybrid Systems at equilibrium. in 53rd IEEE Conference on Decision and Control,CDC 2014. February edn, 7039471, Proceedings of the IEEE Conference on Decision and Control, no. February, vol. 2015-February, Institute of Electrical and Electronics Engineers Inc., pp. 747-752, 2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014, Los Angeles, United States, 12/15/14. https://doi.org/10.1109/CDC.2014.7039471

Zhang J, Deville L, Dhople S, Dominguez-Garcia AD. A maximum entropy approach to the moment closure problem for Stochastic Hybrid Systems at equilibrium. In 53rd IEEE Conference on Decision and Control,CDC 2014. February ed. Institute of Electrical and Electronics Engineers Inc. 2014. p. 747-752. 7039471. (Proceedings of the IEEE Conference on Decision and Control; February). doi: 10.1109/CDC.2014.7039471

Zhang, Jiangmeng ; Deville, Lee ; Dhople, Sairaj et al. / A maximum entropy approach to the moment closure problem for Stochastic Hybrid Systems at equilibrium. 53rd IEEE Conference on Decision and Control,CDC 2014. February. ed. Institute of Electrical and Electronics Engineers Inc., 2014. pp. 747-752 (Proceedings of the IEEE Conference on Decision and Control; February).

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

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