A Maximum Entropy Approach to the Moment Closure Problem for Stochastic Hybrid Systems at Equilibrium

Zhang, J., DeVille, L., Dhople, S. V., Domínguez-García, A. D.

IEEE Control and Decision Conference, Los Angeles, CA, December 15-17, 2014.

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We study the problem that arises in a class of stochastic processes referred to as Stochastic Hybrid Systems (SHS) when computing the moments of the states using the generator of the process and Dynkin’s formula. We focus on the case when the SHS is at equilibrium or approaching equilibrium. We present a family of such processes for which infinite-dimensional linear-system analysis tools are ineffective, and discuss a few differing perspectives on how to tackle such problems by assuming that the SHS state distribution is such that its entropy is maximum. We also provide a numerical algorithm that allows us to efficiently compute maximum entropy solutions, and compare results with Monte Carlo simulations for some illustrative SHS.

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