Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space

In this article, we study risk-sensitive control problem with controlled continuous time Markov chain state dynamics. Using multiplicative dynamic programming principle along with the atomic structure of the state dynamics, we prove the existence and a characterization of optimal risk-sensitive control under geometric ergodicity of the state dynamics along with a smallness condition on the running cost.

Risk-sensitive control of continuous time Markov chains

We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterize the value function via Hamilton Jacobi Bellman equation and obtain an optimal Markov control. We do the same for infinite horizon discounted cost case. In the infinite horizon average cost case we establish the existence of an optimal stationary control under certain Lyapunov condition. We also develop a policy iteration algorithm for finding an optimal control.

Monte-Carlo estimation of time-dependent statistical characteristics of random dynamical systems

The problem of estimating the time-dependent statistical characteristics of a random dynamical system is studied under two different settings. In the first, the system dynamics is governed by a differential equation parameterized by a random parameter, while in the second, this is governed by a differential equation with an underlying parameter sequence characterized by a continuous time Markov chain. We propose, for the first time in the literature, stochastic approximation algorithms for estimating various time-dependent process characteristics of the system. In particular, we provide efficient estimators for quantities such as the mean, variance and distribution of the process at any given time as well as the joint distribution and the autocorrelation coefficient at different times. A novel aspect of our approach is that we assume that information on the parameter model (i.e., its distribution in the first case and transition probabilities of the Markov chain in the second) is not available in either case. This is unlike most other work in the literature that assumes availability of such information. Also, most of the prior work in the literature is geared towards analyzing the steady-state system behavior of the random dynamical system while our focus is on analyzing the time-dependent statistical characteristics which are in general difficult to obtain. We prove the almost sure convergence of our stochastic approximation scheme in each case to the true value of the quantity being estimated. We provide a general class of strongly consistent estimators for the aforementioned statistical quantities with regular sample average estimators being a specific instance of these. We also present an application of the proposed scheme on a widely used model in population biology. Numerical experiments in this framework show that the time-dependent process characteristics as obtained using our algorithm in each case exhibit excellent agreement with exact results. (C) 2010 Elsevier Inc. All rights reserved.

Stochastic analysis of epidemics on adaptive time varying networks

Many studies investigating the effect of human social connectivity structures (networks) and human behavioral adaptations on the spread of infectious diseases have assumed either a static connectivity structure or a network which adapts itself in response to the epidemic (adaptive networks). However, human social connections are inherently dynamic or time varying. Furthermore, the spread of many infectious diseases occur on a time scale comparable to the time scale of the evolving network structure. Here we aim to quantify the effect of human behavioral adaptations on the spread of asymptomatic infectious diseases on time varying networks. We perform a full stochastic analysis using a continuous time Markov chain approach for calculating the outbreak probability, mean epidemic duration, epidemic reemergence probability, etc. Additionally, we use mean-field theory for calculating epidemic thresholds. Theoretical predictions are verified using extensive simulations. Our studies have uncovered the existence of an ``adaptive threshold,'' i.e., when the ratio of susceptibility (or infectivity) rate to recovery rate is below the threshold value, adaptive behavior can prevent the epidemic. However, if it is above the threshold, no amount of behavioral adaptations can prevent the epidemic. Our analyses suggest that the interaction patterns of the infected population play a major role in sustaining the epidemic. Our results have implications on epidemic containment policies, as awareness campaigns and human behavioral responses can be effective only if the interaction levels of the infected populace are kept in check.

Stability and throughput analysis of unslotted CDMA-ALOHA with finite number of users and code sharing

We consider a system comprising a finite number of nodes, with infinite packet buffers, that use unslotted ALOHA with Code Division Multiple Access (CDMA) to share a channel for transmitting packetised data. We propose a simple model for packet transmission and retransmission at each node, and show that saturation throughput in this model yields a sufficient condition for the stability of the packet buffers; we interpret this as the capacity of the access method. We calculate and compare the capacities of CDMA-ALOHA (with and without code sharing) and TDMA-ALOHA; we also consider carrier sensing and collision detection versions of these protocols. In each case, saturation throughput can be obtained via analysis pf a continuous time Markov chain. Our results show how saturation throughput degrades with code-sharing. Finally, we also present some simulation results for mean packet delay. Our work is motivated by optical CDMA in which "chips" can be optically generated, and hence the achievable chip rate can exceed the achievable TDMA bit rate which is limited by electronics. Code sharing may be useful in the optical CDMA context as it reduces the number of optical correlators at the receivers. Our throughput results help to quantify by how much the CDMA chip rate should exceed the TDMA bit rate so that CDMA-ALOHA yields better capacity than TDMA-ALOHA.

Optimal forwarding in delay tolerant networks with multiple destinations

We study the trade-off between delivery delay and energy consumption in a delay tolerant network in which a message (or a file) has to be delivered to each of several destinations by epidemic relaying. In addition to the destinations, there are several other nodes in the network that can assist in relaying the message. We first assume that, at every instant, all the nodes know the number of relays carrying the packet and the number of destinations that have received the packet. We formulate the problem as a controlled continuous time Markov chain and derive the optimal closed loop control (i.e., forwarding policy). However, in practice, the intermittent connectivity in the network implies that the nodes may not have the required perfect knowledge of the system state. To address this issue, we obtain an ODE (i.e., fluid) approximation for the optimally controlled Markov chain. This fluid approximation also yields an asymptotically optimal open loop policy. Finally, we evaluate the performance of the deterministic policy over finite networks. Numerical results show that this policy performs close to the optimal closed loop policy.

Optimal Forwarding in Delay-Tolerant Networks With Multiple Destinations

We study the tradeoff between delivery delay and energy consumption in a delay-tolerant network in which a message (or a file) has to be delivered to each of several destinations by epidemic relaying. In addition to the destinations, there are several other nodes in the network that can assist in relaying the message. We first assume that, at every instant, all the nodes know the number of relays carrying the message and the number of destinations that have received the message. We formulate the problem as a controlled continuous-time Markov chain and derive the optimal closed-loop control (i.e., forwarding policy). However, in practice, the intermittent connectivity in the network implies that the nodes may not have the required perfect knowledge of the system state. To address this issue, we obtain an ordinary differential equation (ODE) (i.e., a deterministic fluid) approximation for the optimally controlled Markov chain. This fluid approximation also yields an asymptotically optimal open-loop policy. Finally, we evaluate the performance of the deterministic policy over finite networks. Numerical results show that this policy performs close to the optimal closed-loop policy.

Low Power continuous time common mode sensing for common mode feedback circuits

Continuous common mode feedback (CMFB) circuits having high input impedance and low distortion are proposed. The proposed circuits are characterized for 0.18 mu m CMOS process with 1.8 V supply. Simulation results indicate that the proposed common mode detector consumes no standby power and CMFB circuit consumes 27-34% less power than previous high swing CMFB circuits.

Markov Chain Model for Cracking Behavior of Reinforced Concrete Beams

In this paper, nonhomogeneous Markov chains are proposed for modeling the cracking behavior of reinforced concrete beams subjected to monotonically increasing loads. The model facilitates prediction of the maximum crackwidth at a given load given the crackwidth at a lower load level, and thus leads to a better understanding of the cracking phenomenon. To illustrate the methodology developed, the results of three reinforced concrete beams tested in the laboratory are analyzed and presented.

Continuous-time Single Network Adaptive Critic for Regulator Design of Nonlinear Control Affine Systems

An optimal control law for a general nonlinear system can be obtained by solving Hamilton-Jacobi-Bellman equation. However, it is difficult to obtain an analytical solution of this equation even for a moderately complex system. In this paper, we propose a continuoustime single network adaptive critic scheme for nonlinear control affine systems where the optimal cost-to-go function is approximated using a parametric positive semi-definite function. Unlike earlier approaches, a continuous-time weight update law is derived from the HJB equation. The stability of the system is analysed during the evolution of weights using Lyapunov theory. The effectiveness of the scheme is demonstrated through simulation examples.

Markov chain modeling of evolution of strains in reinforced concrete flexural beams

From the analysis of experimentally observed variations in surface strains with loading in reinforced concrete beams, it is noted that there is a need to consider the evolution of strains (with loading) as a stochastic process. Use of Markov Chains for modeling stochastic evolution of strains with loading in reinforced concrete flexural beams is studied in this paper. A simple, yet practically useful, bi-level homogeneous Gaussian Markov Chain (BLHGMC) model is proposed for determining the state of strain in reinforced concrete beams. The BLHGMC model will be useful for predicting behavior/response of reinforced concrete beams leading to more rational design.

Methodology for Pavement Design Reliability and Back Analysis Using Markov Chain Monte Carlo Simulation

Given the increasing cost of designing and building new highway pavements, reliability analysis has become vital to ensure that a given pavement performs as expected in the field. Recognizing the importance of failure analysis to safety, reliability, performance, and economy, back analysis has been employed in various engineering applications to evaluate the inherent uncertainties of the design and analysis. The probabilistic back analysis method formulated on Bayes' theorem and solved using the Markov chain Monte Carlo simulation method with a Metropolis-Hastings algorithm has proved to be highly efficient to address this issue. It is also quite flexible and is applicable to any type of prior information. In this paper, this method has been used to back-analyze the parameters that influence the pavement life and to consider the uncertainty of the mechanistic-empirical pavement design model. The load-induced pavement structural responses (e.g., stresses, strains, and deflections) used to predict the pavement life are estimated using the response surface methodology model developed based on the results of linear elastic analysis. The failure criteria adopted for the analysis were based on the factor of safety (FOS), and the study was carried out for different sample sizes and jumping distributions to estimate the most robust posterior statistics. From the posterior statistics of the case considered, it was observed that after approximately 150 million standard axle load repetitions, the mean values of the pavement properties decrease as expected, with a significant decrease in the values of the elastic moduli of the expected layers. An analysis of the posterior statistics indicated that the parameters that contribute significantly to the pavement failure were the moduli of the base and surface layer, which is consistent with the findings from other studies. After the back analysis, the base modulus parameters show a significant decrease of 15.8% and the surface layer modulus a decrease of 3.12% in the mean value. The usefulness of the back analysis methodology is further highlighted by estimating the design parameters for specified values of the factor of safety. The analysis revealed that for the pavement section considered, a reliability of 89% and 94% can be achieved by adopting FOS values of 1.5 and 2, respectively. The methodology proposed can therefore be effectively used to identify the parameters that are critical to pavement failure in the design of pavements for specified levels of reliability. DOI: 10.1061/(ASCE)TE.1943-5436.0000455. (C) 2013 American Society of Civil Engineers.

Markov chain splitting methods in structural reliability integral estimation

Monte Carlo simulation methods involving splitting of Markov chains have been used in evaluation of multi-fold integrals in different application areas. We examine in this paper the performance of these methods in the context of evaluation of reliability integrals from the point of view of characterizing the sampling fluctuations. The methods discussed include the Au-Beck subset simulation, Holmes-Diaconis-Ross method, and generalized splitting algorithm. A few improvisations based on first order reliability method are suggested to select algorithmic parameters of the latter two methods. The bias and sampling variance of the alternative estimators are discussed. Also, an approximation to the sampling distribution of some of these estimators is obtained. Illustrative examples involving component and series system reliability analyses are presented with a view to bring out the relative merits of alternative methods. (C) 2015 Elsevier Ltd. All rights reserved.

Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey

This work is a survey of the average cost control problem for discrete-time Markov processes. The authors have attempted to put together a comprehensive account of the considerable research on this problem over the past three decades. The exposition ranges from finite to Borel state and action spaces and includes a variety of methodologies to find and characterize optimal policies. The authors have included a brief historical perspective of the research efforts in this area and have compiled a substantial yet not exhaustive bibliography. The authors have also identified several important questions that are still open to investigation.

A Markov Decision Theoretic Approach to Pilot Allocation and Receive Antenna Selection

This paper considers antenna selection (AS) at a receiver equipped with multiple antenna elements but only a single radio frequency chain for packet reception. As information about the channel state is acquired using training symbols (pilots), the receiver makes its AS decisions based on noisy channel estimates. Additional information that can be exploited for AS includes the time-correlation of the wireless channel and the results of the link-layer error checks upon receiving the data packets. In this scenario, the task of the receiver is to sequentially select (a) the pilot symbol allocation, i.e., how to distribute the available pilot symbols among the antenna elements, for channel estimation on each of the receive antennas; and (b) the antenna to be used for data packet reception. The goal is to maximize the expected throughput, based on the past history of allocation and selection decisions, and the corresponding noisy channel estimates and error check results. Since the channel state is only partially observed through the noisy pilots and the error checks, the joint problem of pilot allocation and AS is modeled as a partially observed Markov decision process (POMDP). The solution to the POMDP yields the policy that maximizes the long-term expected throughput. Using the Finite State Markov Chain (FSMC) model for the wireless channel, the performance of the POMDP solution is compared with that of other existing schemes, and it is illustrated through numerical evaluation that the POMDP solution significantly outperforms them.