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Approximation of Markov processes by lower dimensional processes
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Computer Science and Communication (CSC), Centres, Centre for Autonomous Systems, CAS.
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2014 (English)In: Proceedings of the IEEE Conference on Decision and Control, IEEE conference proceedings, 2014, no February, 4441-4446 p.Conference paper, Published paper (Refereed)
Abstract [en]

In this paper, we investigate the problem of aggregating a given finite-state Markov process by another process with fewer states. The aggregation utilizes total variation distance as a measure of discriminating the Markov process by the aggregate process, and aims to maximize the entropy of the aggregate process invariant probability, subject to a fidelity described by the total variation distance ball. An iterative algorithm is presented to compute the invariant distribution of the aggregate process, as a function of the invariant distribution of the Markov process. It turns out that the approximation method via aggregation leads to an optimal aggregate process which is a hidden Markov process, and the optimal solution exhibits a water-filling behavior. Finally, the algorithm is applied to specific examples to illustrate the methodology and properties of the approximations.

Place, publisher, year, edition, pages
IEEE conference proceedings, 2014. no February, 4441-4446 p.
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:kth:diva-176141DOI: 10.1109/CDC.2014.7040082Scopus ID: 2-s2.0-84931863980OAI: oai:DiVA.org:kth-176141DiVA: diva2:875085
Conference
2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014, 15 December 2014 through 17 December 2014
Note

QC 20151130

Available from: 2015-11-30 Created: 2015-11-02 Last updated: 2015-11-30Bibliographically approved

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Charalambous, ThemistoklisJohansson, Mikael
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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
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  • nn-NO
  • nn-NB
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  • Other locale
More languages
Output format
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  • asciidoc
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