A Non-autonomous Stochastic Discrete Time System with Uniform Disturbances

Conference paper
First Online:
Part of the IFIP Advances in Information and Communication Technology book series (IFIPAICT, volume 494)

Abstract

The main objective of this article is to present Bayesian optimal control over a class of non-autonomous linear stochastic discrete time systems with disturbances belonging to a family of the one parameter uniform distributions. It is proved that the Bayes control for the Pareto priors is the solution of a linear system of algebraic equations. For the case that this linear system is singular, we apply optimization techniques to gain the Bayesian optimal control. These results are extended to generalized linear stochastic systems of difference equations and provide the Bayesian optimal control for the case where the coefficients of these type of systems are non-square matrices. The paper extends the results of the authors developed for system with disturbances belonging to the exponential family.

Keywords

Bayes control Optimal Singular system Disturbances Pareto distribution 
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Notes

Acknowledgments

I. Dassios is supported by Science Foundation Ireland (award 09/SRC/E1780).

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Copyright information

© IFIP International Federation for Information Processing 2016

Authors and Affiliations

  1. 1.MACSI, Department of Mathematics and StatisticsUniversity of LimerickLimerickIreland
  2. 2.ERC, Electricity Research CentreUniversity College DublinDublinIreland
  3. 3.Faculty of Pure and Applied MathematicsWrocław University of TechnologyWrocławPoland

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