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A Linear Programming Approach to Parameter Fitting for the Master Equation

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2 Author(s)
Martins, N.C. ; Electr. & Comput. Eng. Dept., Univ. of Maryland, College Park, MD, USA ; Goncalves, J.M.

This technical note proposes a new framework for the design of continuous time, finite state space Markov processes. In particular, we propose a paradigm for selecting an optimal matrix within a pre-specified pencil of transition rate matrices. Given any transition rate matrix specifying the time-evolution of the Markov process, we propose a class of figures of merit that upper-bounds the long-term evolution of any statistical moment. We show that optimization with respect to the aforementioned class of cost functions is tractable via dualization and linear programming methods. In addition, we suggest how this approach can be used as a tool for the sub-optimal design of the master equation, with performance guarantees. Our results are applied to illustrative examples.

Published in:

Automatic Control, IEEE Transactions on  (Volume:54 ,  Issue: 10 )

Date of Publication:

Oct. 2009

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