Well-Posed State/Signal Systems in Continuous Time

We introduce a new class of linear systems, the L ^p -well-posed state/signal systems in continuous time, we establish the foundations of their theory and we develop some tools for their study. The principal feature of a state/signal system is that the external signals of the system are not a priori divided into inputs and outputs. We relate state/signal systems to the better-known class of well-posed input/state/output systems, showing that state/signal systems are more flexible than input/state/output systems but still have enough structure to provide a meaningful theory. We also give some examples which point to possibilities for further study.     

On Passive and Conservative State/Signal Systems

This article is devoted to a study of continuous-time passive and conservative systems within the state/signal framework. The main idea of the state/signal approach is to not a priori distinguish between inputs and outputs, but rather to combine these two into a single external signal. The so-called node space is introduced as the product of two copies of the state space of the system and one copy of the space where the external signals of the system live. This node space is equipped with a sesquilinear product that makes it a Kre?n space. A generating subspace is defined as a closed subspace of the node space, and the node space determines the trajectories of a state/signal system. One of the main results of this article is that a subspace of the node space generates a passive state/signal system if and only if it is a maximally nonnegative subspace of the node space and it satisfies a certain nondegeneracy condition. In this case the generating subspace can be interpreted as the graph of a scattering-passive input/state/output system node.     

Continuous Time Finite State Mean Field Games

In this paper we consider symmetric games where a large number of players can be in any one of d states. We derive a limiting mean field model and characterize its main properties. This mean field limit is a system of coupled ordinary differential equations with initial-terminal data. For this mean field problem we prove a trend to equilibrium theorem, that is convergence, in an appropriate limit, to stationary solutions. Then we study an N+1-player problem, which the mean field model attempts to approximate. Our main result is the convergence as N→∞ of the mean field model and an estimate of the rate of convergence. We end the paper with some further examples for potential mean field games.     

Moment Formulas for Multitype Continuous State and Continuous Time Branching Process with Immigration

Recursions for moments of multitype continuous state and continuous time branching process with immigration are derived. It turns out that the \(k\)th (mixed) moments and the \(k\)th (mixed) central moments are polynomials of the initial value of the process, and their degree is at most \(k\) and \(\lfloor k/2 \rfloor \), respectively.     

Bi-Inner Dilations and Bi-Stable Passive Scattering Realizations of Schur Class Operator-Valued Functions

Let S(U; Y) be the class of all Schur functions (analytic contractive functions) whose values are bounded linear operators mapping one separable Hilbert space U into another separable Hilbert space Y , and which are defined on a domain , which is either the open unit disk or the open right half-plane . In the development of the Darlington method for passive linear time-invariant input/state/output systems (by Arov, Dewilde, Douglas and Helton) the following question arose: do there exist simple necessary and sufficient conditions under which a function has a bi-inner dilation mapping into ; here U ₁ and Y ₁ are two more separable Hilbert spaces, and the requirement that Θ is bi-inner means that Θ is analytic and contractive on Ω and has unitary nontangential limits a.e. on ∂Ω. There is an obvious well-known necessary condition: there must exist two functions and (namely and ) satisfying and for almost all . We prove that this necessary condition is also sufficient. Our proof is based on the following facts. 1) A solution ψ _r of the first factorization problem mentioned above exists if and only if the minimal optimal passive realization of θ is strongly stable. 2) A solution ψ _l of the second factorization problem exists if and only if the minimal *-optimal passive realization of θ is strongly co-stable (the adjoint is strongly stable). 3) The full problem has a solution if and only if the balanced minimal passive realization of θ is strongly bi-stable (both strongly stable and strongly co-stable). This result seems to be new even in the case where θ is scalar-valued.      

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.     

On the Distributions of the State Sizes of Closed Continuous Time Homogeneous Markov Systems

The evolution of the state sizes of a closed continuous-time homogeneous Markov system is determined by the convolution of multinomial distributions expressing the number of transitions between the states of the system. In order to investigate the distributions of the state sizes, we provide the computation of their moments, at any time point, via a recursive formula concerning the derivative of the moments. The basic result is given by means of a new vector product which is similar to the Kronecker product. Finally, a formula for the computation of the state sizes distributions is given.     

Canonical State Representations and Hilbert Functions of Multidimensional Systems

A basic and substantial theorem of one-dimensional systems theory, due to R. Kalman, says that an arbitrary input/output behavior with proper transfer matrix admits an observable state representation which, in particular, is a realization of the transfer matrix. The state equations have the characteristic property that any local, better temporal, state at time zero and any input give rise to a unique global state or trajectory of the system or, in other terms, that the global state is the unique solution of a suitable Cauchy problem. With an adaption of this state property to the multidimensional situation or rather its algebraic counter-part we prove that any behavior governed by a linear system of partial differential or difference equations with constant coefficients is isomorphic to a canonical state behavior which is constructed by means of Gröbner bases. In contrast to the one-dimensional situation, to J.C. Willems’ multidimensional state space models and and to J.F. Pommaret’s modified Spencer form the canonical state behavior is not necessarily a first order system. Further first order models are due E. Zerz. As a by-product of the state space construction we derive a new variant of the algorithms for the computation of the Hilbert function of finitely generated polynomial modules or behaviors. J.F. Pommaret, J. Wood and P. Rocha discussed the Hilbert polynomial in the systems theoretic context. The theorems of this paper are constructive and have been implemented in MAPLE in the two-dimensional case and demonstrated in a simple, but instructive example. A two-page example also gives the complete proof of Kalman’s one-dimensional theorem mentioned above. We believe that for this standard case the algorithms of the present paper compare well with their various competitors from the literature.     

Connections Between Classical and Generalised Trajectories of a State/Signal System

In our earlier article “Well-posed state/signal systems in continuous time”, we originally defined the notion of a trajectory of a state/signal system by means of a generating subspace. However, it was left as an open problem whether the generating subspace is uniquely determined by a given family of all generalised trajectories of a well-posed state/signal system. In this article we give a positive answer to this question and show how this insight simplifies some formulations in the theory of well-posed state/signal systems. The main contribution of the article is an explicit convolution scheme for constructing classical trajectories approximating an arbitrary generalised trajectory. We apply this scheme by studying relationships between classical and generalised trajectories of continuous-time state/signal systems under very weak assumptions. Among others, we show that there exists a space of classical trajectories that is invariant under differentiation and dense in the space of generalised trajectories. Some of our results generalise known results for strongly continuous semigroups and input/state/output systems, but we make no use of decompositions of the signal space into an input space and an output space, and in particular, none of our results depend on well-posedness.     

连续综合控制系统的状态反馈广义H_(2)控制北大核心CSCD

基于Lyapunov稳定性理论、矩阵分析法、线性矩阵不等式等方法,对同时带有控制输入和干扰输入的奇异摄动时变时滞不确定控制系统进行广义H_(2)控制研究.设计一个记忆状态广义H_(2)控制器,给出具体设计方法的判定定理.并对时滞依赖和时滞独立两种情形下采用新的引理,推出保守性相对更小的稳定性判据.对所得结论进行线性化处理,用数值样例验证了该文所得结论的有效性和可行性.指出在零到奇异摄动上界的整个区间范围内,闭环系统渐近稳定,扩大了广义H_(2)稳定空间,缩小了L_(2)-L_(∞)的性能指标.通过与相关文献进行稳定态指标对比,展示出该文所得方法具有一定的优越性和较小的保守性,并且适用于标准和非标准情形.     

Discrete and Continuous Time Extremes of Gaussian Processes

Joint distribution of maximums of a Gaussian stationary process in continuous time and in uniform grid on the real axis is studied. When the grid is sufficiently sparse, maxima are asymptotically independent. When the grid is sufficiently tight, the maximums asymptotically coincide. In the boundary case which we call Pickands grid, the limit distribution is non-degenerate. It calculated in terms of a Pickands type constant.AMS 2000 Subject Classification. Primary—60G70, Secondary—60G15*Partially supported by the Scientific foundation of the Netherlands, RFFI grant 0401-00700 and grant DFG 436 RUS 113/722.     

Unbiased Simulation of Rare Events in Continuous Time

Methodology and Computing in Applied Probability - For rare events described in terms of Markov processes, truly unbiased estimation of the rare event probability generally requires the avoidance...     

一类时滞连续模糊系统稳定性研究

对一类状态时滞连续模糊系统模型稳定性进行了研究,基于Lyapunov稳定性理论证明其系统的稳定性,利用线性矩阵不等式(LMI)方法,得到其稳定的一个充分条件.最后用数值例子进一步说明本文所给方法的有效性.     

A Theory of Complexity for Continuous Time Systems

We present a model of computation with ordinary differential equations (ODEs) which converge to attractors that are interpreted as the output of a computation. We introduce a measure of complexity for exponentially convergent ODEs, enabling an algorithmic analysis of continuous time flows and their comparison with discrete algorithms. We define polynomial and logarithmic continuous time complexity classes and show that an ODE which solves the maximum network flow problem has polynomial time complexity. We also analyze a simple flow that solves the Maximum problem in logarithmic time. We conjecture that a subclass of the continuous P is equivalent to the classical P.     

Calculation of the Steady State Waiting Time Distribution in GI/PH/c and MAP/PH/c Queues

We consider the waiting time (delay) W in a FCFS c-server queue with arrivals which are either renewal or governed by Neuts' Markovian arrival process, and (possibly heterogeneous) service time distributions of general phase-type F _i , with m _i phases for the ith server. The distribution of W is then again phase-type, with m ₁m _c phases for the general heterogeneous renewal case and phases for the homogeneous case F _i =F, m _i =m. We derive the phase-type representation in a form which is explicit up to the solution of a matrix fixed point problem; the key new ingredient is a careful study of the not-all-busy period where some or all servers are idle. Numerical examples are presented as well.     

具有分布时滞的病毒感染模型动力学性质研究

本文研究具有分布时滞的病毒感染模型的动力学性质.构建该模型,基于Lyapunov泛函分析方法,研究该系统平衡点的全局稳定性.分别得到该系统无病平衡点和感染平衡点全局稳定的充分条件.     

连续时间证券组合安全第一准则

马科维茨均值-方差分析是研究证券组合选择的一种基本方法,而Roy提出一种＂安全第一＂准则,该准则多出现在单阶段与多阶段证券组合选择的研究中.本文分别在完全信息与部分信息下,运用安全第一准则分别研究了连续时间证券组合选择问题,利用鞅方法与Malliavin分析得到投资者的最优投资策略.