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Discrete-Time Markov Jump Linear Systems
TLDR
Markov jump linear systems as mentioned in this paper have been used in a variety of applications, such as: optimal control, filtering, and Quadratic Optimal Control with Partial Information (QOPI).Abstract:
Markov Jump Linear Systems.- Background Material.- On Stability.- Optimal Control.- Filtering.- Quadratic Optimal Control with Partial Information.- H?-Control.- Design Techniques and Examples.read more
Citations
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Journal ArticleDOI
Stabilization of Networked Control Systems With a New Delay Characterization
TL;DR: A controller design procedure based on mean-square asymptotic stability is derived for the closed-loop networked control systems, and based on this, an inverted pendulum system is utilized to show the effectiveness and applicability of the proposed results.
Journal ArticleDOI
A survey on Markovian jump systems: Modeling and design
Peng Shi,Peng Shi,Fanbiao Li +2 more
TL;DR: In this paper, a survey on recent developments of modeling, analysis and design of Markovian jump systems is presented, and a variety of control and filter design methods are systematically recalled.
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To Zero or to Hold Control Inputs With Lossy Links
TL;DR: None of the two simplest compensation strategies commonly found in the literature can be claimed superior to the other, even for simple scalar systems, since there are scenarios where one strategy performs better then the other and scenarios where the converse occurs.
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Bayesian Nonparametric Inference of Switching Dynamic Linear Models
TL;DR: In this article, a Bayesian nonparametric approach utilizes a hierarchical Dirichlet process prior to learn an unknown number of persistent, smooth dynamical modes, and additionally employs automatic relevance determination to infer a sparse set of dynamic dependencies allowing to learn SLDS with varying state dimension or switching VAR processes with varying autoregressive order.
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Stability and Stabilization of Discrete-Time Semi-Markov Jump Linear Systems via Semi-Markov Kernel Approach
TL;DR: A new stability concept generalizing the traditional mean-square stability is proposed such that numerically testable criteria on the basis of SMK are obtained.
References
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Journal ArticleDOI
Autoregressive conditional heteroskedasticity and changes in regime
James D. Hamilton,Raul Susmel +1 more
TL;DR: In this article, the authors explore the possibility that the parameters of an ARCH process can come from one of several different regimes, with transitions between regimes governed by an unobserved Markov chain.
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Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits
George Yin,Xun Yu Zhou +1 more
TL;DR: This work studies a discrete-time version of Markowitz's mean-variance portfolio selection problem where the market parameters depend on the market mode (regime) that jumps among a finite number of states, and proves that the process of interest yields a switching diffusion limit using weak convergence methods.
Posted Content
The Likelihood Test Under Non-Standard Conditions: Testing the Markov Trend Model of GNP
Journal ArticleDOI
Spreading code optimization and adaptation in CDMA via discrete stochastic approximation
TL;DR: In this article, the authors developed discrete stochastic approximation algorithms that adaptively optimize the spreading codes of users in a CDMA system employing linear minimum mean square error (MMSE) receivers.