Fully Probabilistic Design for Stochastic Discrete System with Multiplicative Noise

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper, a novel algorithm based on fully probabilistic design (FPD) is proposed for a class of linear stochastic dynamic processes with multiplicative noise. Compared
with the traditional FPD, the new procedure is presented to deal with multiplicative noise and the system parameters are estimated online using linear optimisation methods. The performance index is characterised by the Kullback-Leibler divergence (KLD) distance. The generalised probabilistic control law is obtained by solving a generalised Riccatti equation that takes the multiplicative noise into consideration. To demonstrate the effectiveness of the proposed method, a numerical example is given and the results are compared with the traditional FPD.
Original languageEnglish
Title of host publicationThe 15th IEEE International Conference on Control and Automation
PublisherIEEE
Publication statusPublished - 19 Jul 2019
EventThe 15th IEEE International Conference on Control and Automation (IEEE ICCA 2019) -
Duration: 16 Jul 2019 → …
http://uav.ece.nus.edu.sg/~icca19/call_for_paper.html

Conference

ConferenceThe 15th IEEE International Conference on Control and Automation (IEEE ICCA 2019)
Period16/07/19 → …
Internet address

Bibliographical note

© 2019 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.

Cite this

Zhou, Y., Herzallah, R., & Zafar, A. (2019). Fully Probabilistic Design for Stochastic Discrete System with Multiplicative Noise. In The 15th IEEE International Conference on Control and Automation IEEE.
Zhou, Yuyang ; Herzallah, Randa ; Zafar, Ana. / Fully Probabilistic Design for Stochastic Discrete System with Multiplicative Noise. The 15th IEEE International Conference on Control and Automation. IEEE, 2019.
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abstract = "In this paper, a novel algorithm based on fully probabilistic design (FPD) is proposed for a class of linear stochastic dynamic processes with multiplicative noise. Comparedwith the traditional FPD, the new procedure is presented to deal with multiplicative noise and the system parameters are estimated online using linear optimisation methods. The performance index is characterised by the Kullback-Leibler divergence (KLD) distance. The generalised probabilistic control law is obtained by solving a generalised Riccatti equation that takes the multiplicative noise into consideration. To demonstrate the effectiveness of the proposed method, a numerical example is given and the results are compared with the traditional FPD.",
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Zhou, Y, Herzallah, R & Zafar, A 2019, Fully Probabilistic Design for Stochastic Discrete System with Multiplicative Noise. in The 15th IEEE International Conference on Control and Automation. IEEE, The 15th IEEE International Conference on Control and Automation (IEEE ICCA 2019), 16/07/19.

Fully Probabilistic Design for Stochastic Discrete System with Multiplicative Noise. / Zhou, Yuyang; Herzallah, Randa; Zafar, Ana.

The 15th IEEE International Conference on Control and Automation. IEEE, 2019.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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N1 - © 2019 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.

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N2 - In this paper, a novel algorithm based on fully probabilistic design (FPD) is proposed for a class of linear stochastic dynamic processes with multiplicative noise. Comparedwith the traditional FPD, the new procedure is presented to deal with multiplicative noise and the system parameters are estimated online using linear optimisation methods. The performance index is characterised by the Kullback-Leibler divergence (KLD) distance. The generalised probabilistic control law is obtained by solving a generalised Riccatti equation that takes the multiplicative noise into consideration. To demonstrate the effectiveness of the proposed method, a numerical example is given and the results are compared with the traditional FPD.

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Zhou Y, Herzallah R, Zafar A. Fully Probabilistic Design for Stochastic Discrete System with Multiplicative Noise. In The 15th IEEE International Conference on Control and Automation. IEEE. 2019