Stochastic stability for Markovian jump linear systems associated with a finite number of jump times

This paper deals with a stochastic stability concept for discrete-time Markovian jump linear systems. The random jump parameter is associated to changes between the system operation modes due to failures or repairs, which can be well described by an underlying finite-state Markov chain. In the model studied, a fixed number of failures or repairs is allowed, after which, the system is brought to a halt for maintenance or for replacement. The usual concepts of stochastic stability are related to pure infinite horizon problems, and are not appropriate in this scenario. A new stability concept is introduced, named stochastic tau-stability that is tailored to the present setting. Necessary and sufficient conditions to ensure the stochastic tau-stability are provided, and the almost sure stability concept associated with this class of processes is also addressed. The paper also develops equivalences among second order concepts that parallels the results for infinite horizon problems. (C) 2003 Elsevier B.V. All rights reserved.

Stochastic Stability for Markovian Jump Linear Systems Subject to a Crucial Failure Event

This paper is concerned with the stability of discrete-time linear systems subject to random jumps in the parameters, described by an underlying finite-state Markov chain. In the model studied, a stopping time τ Δ is associated with the occurrence of a crucial failure after which the system is brought to a halt for maintenance. The usual stochastic stability concepts and associated results are not indicated, since they are tailored to pure infinite horizon problems. Using the concept named stochastic τ-stability, equivalent conditions to ensure the stochastic stability of the system until the occurrence of τ Δ is obtained. In addition, an intermediary and mixed case for which τ represents the minimum between the occurrence of a fix number N of failures and the occurrence of a crucial failure τ Δ is also considered. Necessary and sufficient conditions to ensure the stochastic τ-stability are provided in this setting that are auxiliary to the main result.

The LQ control problem for Markovian jumps linear systems with horizon defined by stopping times

This paper deals with a stochastic optimal control problem involving discrete-time jump Markov linear systems. The jumps or changes between the system operation modes evolve according to an underlying Markov chain. In the model studied, the problem horizon is defined by a stopping time τ which represents either, the occurrence of a fix number N of failures or repairs (TN), or the occurrence of a crucial failure event (τΔ), after which the system is brought to a halt for maintenance. In addition, an intermediary mixed case for which T represents the minimum between TN and τΔ is also considered. These stopping times coincide with some of the jump times of the Markov state and the information available allows the reconfiguration of the control action at each jump time, in the form of a linear feedback gain. The solution for the linear quadratic problem with complete Markov state observation is presented. The solution is given in terms of recursions of a set of algebraic Riccati equations (ARE) or a coupled set of algebraic Riccati equation (CARE).

Linear quadratic Gaussian control of discrete-time Markov jump linear systems with horizon defined by stopping times

The linear quadratic Gaussian control of discrete-time Markov jump linear systems is addressed in this paper, first for state feedback, and also for dynamic output feedback using state estimation. in the model studied, the problem horizon is defined by a stopping time τ which represents either, the occurrence of a fix number N of failures or repairs (T N), or the occurrence of a crucial failure event (τ δ), after which the system paralyzed. From the constructive method used here a separation principle holds, and the solutions are given in terms of a Kalman filter and a state feedback sequence of controls. The control gains are obtained by recursions from a set of algebraic Riccati equations for the former case or by a coupled set of algebraic Riccati equation for the latter case. Copyright © 2005 IFAC.

H ∞ state feedback control of discrete-time Markov jump linear systems through linear matrix inequalities

This paper addresses the H ∞ state-feedback control design problem of discretetime Markov jump linear systems. First, under the assumption that the Markov parameter is measured, the main contribution is on the LMI characterization of all linear feedback controllers such that the closed loop output remains bounded by a given norm level. This results allows the robust controller design to deal with convex bounded parameter uncertainty, probability uncertainty and cluster availability of the Markov mode. For partly unknown transition probabilities, the proposed design problem is proved to be less conservative than one available in the current literature. An example is solved for illustration and comparisons. © 2011 IFAC.

Estabilidade estocástica de sistemas lineares com Saltos Markovianos e Sistemas Lineares com Saltos Semimarkovianos

Pós-graduação em Matematica Aplicada e Computacional - FCT

Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

In this paper, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises under two criteria. The first one is an unconstrained mean-variance trade-off performance criterion along the time, and the second one is a minimum variance criterion along the time with constraints on the expected output. We present explicit conditions for the existence of an optimal control strategy for the problems, generalizing previous results in the literature. We conclude the paper by presenting a numerical example of a multi-period portfolio selection problem with regime switching in which it is desired to minimize the sum of the variances of the portfolio along the time under the restriction of keeping the expected value of the portfolio greater than some minimum values specified by the investor. (C) 2011 Elsevier Ltd. All rights reserved.

Stochastic exponential stability of singular linear systems with Markov jump parameters

This paper deals with exponential stability of discrete-time singular systems with Markov jump parameters. We propose a set of coupled generalized Lyapunov equations (CGLE) that provides sufficient conditions to check this property for this class of systems. A method for solving the obtained CGLE is also presented, based on iterations of standard singular Lyapunov equations. We present also a numerical example to illustrate the effectiveness of the approach we are proposing.

A Numerical Solution Using an Adaptively Preconditioned Lanczos Method for a Class of Linear Systems Related with the Fractional Poisson Equation

This study considers the solution of a class of linear systems related with the fractional Poisson equation (FPE) (−∇2)α/2φ=g(x,y) with nonhomogeneous boundary conditions on a bounded domain. A numerical approximation to FPE is derived using a matrix representation of the Laplacian to generate a linear system of equations with its matrix A raised to the fractional power α/2. The solution of the linear system then requires the action of the matrix function f(A)=A−α/2 on a vector b. For large, sparse, and symmetric positive definite matrices, the Lanczos approximation generates f(A)b≈β0Vmf(Tm)e1. This method works well when both the analytic grade of A with respect to b and the residual for the linear system are sufficiently small. Memory constraints often require restarting the Lanczos decomposition; however this is not straightforward in the context of matrix function approximation. In this paper, we use the idea of thick-restart and adaptive preconditioning for solving linear systems to improve convergence of the Lanczos approximation. We give an error bound for the new method and illustrate its role in solving FPE. Numerical results are provided to gauge the performance of the proposed method relative to exact analytic solutions.

A parallel solution to linear systems

Streaming SIMD Extensions (SSE) is a unique feature embedded in the Pentium III and IV classes of microprocessors. By fully exploiting SSE, parallel algorithms can be implemented on a standard personal computer and a theoretical speedup of four can be achieved. In this paper, we demonstrate the implementation of a parallel LU matrix decomposition algorithm for solving linear systems with SSE and discuss advantages and disadvantages of this approach based on our experimental study.

Solving tri-diagonal linear systems using field programmable gate arrays

In this paper, we present the outcomes of a project on the exploration of the use of Field Programmable Gate Arrays(FPGAs) as co-processors for scientific computation. We designed a custom circuit for the pipelined solving of multiple tri-diagonal linear systems. The design is well suited for applications that require many independent tri diagonal system solves, such as finite difference methods for solving PDEs or applications utilising cubic spline interpolation. The selected solver algorithm was the Tri Diagonal Matrix Algorithm (TDMA or Thomas Algorithm). Our solver supports user specified precision thought the use of a custom floating point VHDL library supporting addition, subtraction, multiplication and division. The variable precision TDMA solver was tested for correctness in simulation mode. The TDMA pipeline was tested successfully in hardware using a simplified solver model. The details of implementation, the limitations, and future work are also discussed.

Solving tri-diagonal linear systems using field programmable gate arrays

In this paper, we present the outcomes of a project on the exploration of the use of Field Programmable Gate Arrays (FPGAs) as co-processors for scientific computation. We designed a custom circuit for the pipelined solving of multiple tri-diagonal linear systems. The design is well suited for applications that require many independent tri-diagonal system solves, such as finite difference methods for solving PDEs or applications utilising cubic spline interpolation. The selected solver algorithm was the Tri-Diagonal Matrix Algorithm (TDMA or Thomas Algorithm). Our solver supports user specified precision thought the use of a custom floating point VHDL library supporting addition, subtraction, multiplication and division. The variable precision TDMA solver was tested for correctness in simulation mode. The TDMA pipeline was tested successfully in hardware using a simplified solver model. The details of implementation, the limitations, and future work are also discussed.

Comparison of high level FPGA hardware design for solving tri-diagonal linear systems

Reconfigurable computing devices can increase the performance of compute intensive algorithms by implementing application specific co-processor architectures. The power cost for this performance gain is often an order of magnitude less than that of modern CPUs and GPUs. Exploiting the potential of reconfigurable devices such as Field-Programmable Gate Arrays (FPGAs) is typically a complex and tedious hardware engineering task. Re- cently the major FPGA vendors (Altera, and Xilinx) have released their own high-level design tools, which have great potential for rapid development of FPGA based custom accelerators. In this paper, we will evaluate Altera’s OpenCL Software Development Kit, and Xilinx’s Vivado High Level Sythesis tool. These tools will be compared for their per- formance, logic utilisation, and ease of development for the test case of a Tri-diagonal linear system solver.

On optimal control of constrained linear systems with imperfect state information and stochastic disturbances

We address the problem of finite horizon optimal control of discrete-time linear systems with input constraints and uncertainty. The uncertainty for the problem analysed is related to incomplete state information (output feedback) and stochastic disturbances. We analyse the complexities associated with finding optimal solutions. We also consider two suboptimal strategies that could be employed for larger optimization horizons.