论文标题
量化和管理分段确定的马尔可夫流程中的不确定性
Quantifying and managing uncertainty in piecewise-deterministic Markov processes
论文作者
论文摘要
在分段确定的马尔可夫进程(PDMP)中,有限维系统的状态会不断发展,但是随着离散开关的结果,演变的方程可能随机变化。沿相应的分段确定轨迹集成了运行成本,直到终止,以产生过程的累积成本。我们解决了与PDMP模型累积成本的不确定性有关的三个自然问题:(1)当开关速率完全已知时,如何计算累积成本的累积分布函数(CDF); (2)当不确定开关速率时,如何准确绑定CDF; (3)假设PDMP受到控制,则如何选择控件以优化该CDF。在所有三种情况下,我们的方法都需要摆构成合适的双曲偏微分方程的系统,然后在增强状态空间上以数值求解。我们使用在不确定性的几个1D和2D第一外面时间问题的不确定性下使用轨迹计划的简单示例来说明我们的方法。在附录中,我们还将这种方法应用于具有随机开关的环境中的鱼类收获模型。
In piecewise-deterministic Markov processes (PDMPs) the state of a finite-dimensional system evolves continuously, but the evolutive equation may change randomly as a result of discrete switches. A running cost is integrated along the corresponding piecewise-deterministic trajectory up to the termination to produce the cumulative cost of the process. We address three natural questions related to uncertainty in cumulative cost of PDMP models: (1) how to compute the Cumulative Distribution Function (CDF) of the cumulative cost when the switching rates are fully known; (2) how to accurately bound the CDF when the switching rates are uncertain; and (3) assuming the PDMP is controlled, how to select a control to optimize that CDF. In all three cases, our approach requires posing a system of suitable hyperbolic partial differential equations, which are then solved numerically on an augmented state space. We illustrate our method using simple examples of trajectory planning under uncertainty for several 1D and 2D first-exit time problems. In the Appendix, we also apply this method to a model of fish harvesting in an environment with random switches in carrying capacity.