Comparative Study of Markov Chain Filtering Schemas for Stabilization of Stochastic Systems under Incomplete Information

Alexey Bosov () and Andrey Borisov
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Alexey Bosov: Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences, 44/2 Vavilova Str., 119333 Moscow, Russia
Andrey Borisov: Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences, 44/2 Vavilova Str., 119333 Moscow, Russia

Mathematics, 2022, vol. 10, issue 18, 1-20

Abstract: The object under investigation is a controllable linear stochastic differential system affected by some external statistically uncertain piecewise continuous disturbances. They are directly unobservable but assumed to be a continuous-time Markov chain. The problem is to stabilize the system output concerning a quadratic optimality criterion. As is known, the separation theorem holds for the system. The goal of the paper is performance analysis of various numerical schemes applied to the filtering of the external Markov input for system stabilization purposes. The paper briefly presents the theoretical solution to the considered problem of optimal stabilization for systems with the Markov jump external disturbances: the conditions providing the separation theorem, the equations of optimal control, and the ones defining the Wonham filter. It also contains a complex of the stable numerical approximations of the filter, designed for the time-discretized observations, along with their accuracy characteristics. The approximations of orders 1 2 , 1, and 2 along with the classical Euler–Maruyama scheme are chosen for the comparison of the Wonham filter numerical realization. The filtering estimates are used in the practical stabilization of the various linear systems of the second order. The numerical experiments confirm the significant influence of the filtering precision on the stabilization performance and superiority of the proposed stable schemes of numerical filtering.

Keywords: control of linear differential system; continuous-time Markov chain; quadratic optimality criterion; Wonham filter; discretized filter (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
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