Abstract
This paper presents a continuous-time semidefinite-programming method for bounding statistics of stochastic processes governed by stochastic differential-algebraic equations with trigonometric and polynomial nonlinearities. Upper and lower bounds on the moments are then computed by solving linear optimal control problems for an auxiliary linear control system in which the states and inputs are systematically constructed vectors of mixed algebraic-trigonometric moments. Numerical simulations demonstrate how the method can be applied to solve moment-closure problems in representative systems described by stochastic differential algebraic equation models.
| Original language | English (US) |
|---|---|
| Title of host publication | 2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017 |
| Publisher | Institute of Electrical and Electronics Engineers Inc. |
| Pages | 2455-2460 |
| Number of pages | 6 |
| ISBN (Electronic) | 9781509028733 |
| DOIs | |
| State | Published - Jun 28 2017 |
| Externally published | Yes |
| Event | 56th IEEE Annual Conference on Decision and Control, CDC 2017 - Melbourne, Australia Duration: Dec 12 2017 → Dec 15 2017 |
Publication series
| Name | 2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017 |
|---|---|
| Volume | 2018-January |
Other
| Other | 56th IEEE Annual Conference on Decision and Control, CDC 2017 |
|---|---|
| Country/Territory | Australia |
| City | Melbourne |
| Period | 12/12/17 → 12/15/17 |
Bibliographical note
Publisher Copyright:© 2017 IEEE.