Parameter estimation for a class of stochastic hybrid systems with state-dependent switching noise

John-Josef Leth; Jakob Gulddahl Rasmussen; Henrik Schiøler; Rafal Wisniewski

doi:10.1109/ECC.2015.7330588

Parameter estimation for a class of stochastic hybrid systems with state-dependent switching noise

John-Josef Leth, Jakob Gulddahl Rasmussen, Henrik Schiøler, Rafal Wisniewski

Research output: Contribution to book/anthology/report/conference proceeding › Article in proceeding › Research › peer-review

Abstract

In this paper, we study a class of stochastic hybrid systems with piecewise linear partitioned state space, and state-depending switching governed by an intensity function. Using maximum likelihood methods, we develop a method for estimating parameters of switching distributions in such systems. This is accomplished by identifying the trajectories of a stochastic hybrid system with a point process. The efficiency of the findings are demonstrated on an example.

Original language	English
Title of host publication	2015 European Control Conference, ECC 2015
Number of pages	7
Publisher	IEEE Press
Publication date	2015
Pages	472-478
Article number	7330588
ISBN (Print)	9783952426937
DOIs	https://doi.org/10.1109/ECC.2015.7330588
Publication status	Published - 2015
Event	European Control Conference, ECC 2015 - Linz, Austria Duration: 15 Jul 2015 → 17 Jul 2015

Conference

Conference	European Control Conference, ECC 2015
Country/Territory	Austria
City	Linz
Period	15/07/2015 → 17/07/2015

Access to Document

10.1109/ECC.2015.7330588

AUB Link

Search for the material in Aalborg University Library's search engine

Cite this

@inproceedings{02a3ee78b58644fc8c742a8eefebb786,

title = "Parameter estimation for a class of stochastic hybrid systems with state-dependent switching noise",

abstract = "In this paper, we study a class of stochastic hybrid systems with piecewise linear partitioned state space, and state-depending switching governed by an intensity function. Using maximum likelihood methods, we develop a method for estimating parameters of switching distributions in such systems. This is accomplished by identifying the trajectories of a stochastic hybrid system with a point process. The efficiency of the findings are demonstrated on an example.",

author = "John-Josef Leth and Rasmussen, {Jakob Gulddahl} and Henrik Schi{\o}ler and Rafal Wisniewski",

year = "2015",

doi = "10.1109/ECC.2015.7330588",

language = "English",

isbn = "9783952426937",

pages = "472--478",

booktitle = "2015 European Control Conference, ECC 2015",

publisher = "IEEE Press",

note = "European Control Conference, ECC 2015 ; Conference date: 15-07-2015 Through 17-07-2015",

}

Parameter estimation for a class of stochastic hybrid systems with state-dependent switching noise. / Leth, John-Josef ; Rasmussen, Jakob Gulddahl ; Schiøler, Henrik et al.
2015 European Control Conference, ECC 2015. IEEE Press, 2015. p. 472-478 7330588.

Research output: Contribution to book/anthology/report/conference proceeding › Article in proceeding › Research › peer-review

TY - GEN

T1 - Parameter estimation for a class of stochastic hybrid systems with state-dependent switching noise

AU - Leth, John-Josef

AU - Rasmussen, Jakob Gulddahl

AU - Schiøler, Henrik

AU - Wisniewski, Rafal

PY - 2015

Y1 - 2015

N2 - In this paper, we study a class of stochastic hybrid systems with piecewise linear partitioned state space, and state-depending switching governed by an intensity function. Using maximum likelihood methods, we develop a method for estimating parameters of switching distributions in such systems. This is accomplished by identifying the trajectories of a stochastic hybrid system with a point process. The efficiency of the findings are demonstrated on an example.

AB - In this paper, we study a class of stochastic hybrid systems with piecewise linear partitioned state space, and state-depending switching governed by an intensity function. Using maximum likelihood methods, we develop a method for estimating parameters of switching distributions in such systems. This is accomplished by identifying the trajectories of a stochastic hybrid system with a point process. The efficiency of the findings are demonstrated on an example.

U2 - 10.1109/ECC.2015.7330588

DO - 10.1109/ECC.2015.7330588

M3 - Article in proceeding

AN - SCOPUS:84963893800

SN - 9783952426937

SP - 472

EP - 478

BT - 2015 European Control Conference, ECC 2015

PB - IEEE Press

T2 - European Control Conference, ECC 2015

Y2 - 15 July 2015 through 17 July 2015

ER -

Parameter estimation for a class of stochastic hybrid systems with state-dependent switching noise

Abstract

Conference

Access to Document

AUB Link

Fingerprint

Cite this