کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
11003529 1460618 2018 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Change-point detection for piecewise deterministic Markov processes
ترجمه فارسی عنوان
تشخیص تغییر مکان برای فرآیندهای مارکف قطعی قطعی
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
چکیده انگلیسی
We consider a change-point detection problem for a simple class of Piecewise Deterministic Markov Processes (PDMPs). A continuous-time PDMP is observed in discrete time and through noise, and the aim is to propose a numerical method to accurately detect both the date of the change of dynamics and the new regime after the change. To do so, we state the problem as an optimal stopping problem for a partially observed discrete-time Markov decision process taking values in a continuous state space and provide a discretization of the state space based on quantization to approximate the value function and build a tractable stopping policy. We provide error bounds for the approximation of the value function and numerical simulations to assess the performance of our candidate policy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Automatica - Volume 97, November 2018, Pages 234-247
نویسندگان
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