Search results for: stochastic lead time

Authors: A. Aissani, H. Benaoudia

Abstract:

Stochastic comparison has been an important direction of research in various area. This can be done by the use of the notion of stochastic ordering which gives qualitatitive rather than purely quantitative estimation of the system under study. In this paper we present applications of comparison based uncertainty related to entropy in Reliability analysis, for example to design better systems. These results can be used as a priori information in simulation studies.

Keywords: Uncertainty, Stochastic comparison, Reliability, serie's system, imperfect repair.

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Authors: Dezhi Liu Guiyuan Yang Wei Zhang

Abstract:

Strict stability can present the rate of decay of the solution, so more and more investigators are beginning to study the topic and some results have been obtained. However, there are few results about strict stability of stochastic differential equations. In this paper, using Lyapunov functions and Razumikhin technique, we have gotten some criteria for the strict stability of impulsive stochastic functional differential equations with markovian switching.

Keywords: Impulsive; Stochastic functional differential equation; Strict stability; Razumikhin technique.

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Authors: Dezhi Liu

Abstract:

In the paper, based on stochastic analysis theory and Lyapunov functional method, we discuss the mean square stability of impulsive stochastic delay differential equations with markovian switching and poisson jumps, and the sufficient conditions of mean square stability have been obtained. One example illustrates the main results. Furthermore, some well-known results are improved and generalized in the remarks.

Keywords: Impulsive, stochastic, delay, Markovian switching, Poisson jumps, mean square stability.

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Authors: Paola Lecca, Lorenzo Dematte, Corrado Priami

Abstract:

The present models and simulation algorithms of intracellular stochastic kinetics are usually based on the premise that diffusion is so fast that the concentrations of all the involved species are homogeneous in space. However, recents experimental measurements of intracellular diffusion constants indicate that the assumption of a homogeneous well-stirred cytosol is not necessarily valid even for small prokaryotic cells. In this work a mathematical treatment of diffusion that can be incorporated in a stochastic algorithm simulating the dynamics of a reaction-diffusion system is presented. The movement of a molecule A from a region i to a region j of the space is represented as a first order reaction Ai k- ! Aj , where the rate constant k depends on the diffusion coefficient. The diffusion coefficients are modeled as function of the local concentration of the solutes, their intrinsic viscosities, their frictional coefficients and the temperature of the system. The stochastic time evolution of the system is given by the occurrence of diffusion events and chemical reaction events. At each time step an event (reaction or diffusion) is selected from a probability distribution of waiting times determined by the intrinsic reaction kinetics and diffusion dynamics. To demonstrate the method the simulation results of the reaction-diffusion system of chaperoneassisted protein folding in cytoplasm are shown.

Keywords: Reaction-diffusion systems, diffusion coefficient, stochastic simulation algorithm.

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Authors: Ginalber L. O. Serra

Abstract:

This work proposes a recursive weighted ELS algorithm for system identification by applying numerically robust orthogonal Householder transformations. The properties of the proposed algorithm show it obtains acceptable results in a noisy environment: fast convergence and asymptotically unbiased estimates. Comparative analysis with others robust methods well known from literature are also presented.

Keywords: Stochastic Systems, Robust Identification, Parameter Estimation, Systems Identification.

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Authors: Abhishek Neogi, Jayesh Verma, Pinaki Pratim Acharjya

Abstract:

Image segmentation and edge detection is a fundamental section in image processing. In case of noisy images Edge Detection is very less effective if we use conventional Spatial Filters like Sobel, Prewitt, LOG, Laplacian etc. To overcome this problem we have proposed the use of Stochastic Gradient Mask instead of Spatial Filters for generating gradient images. The present study has shown that the resultant images obtained by applying Stochastic Gradient Masks appear to be much clearer and sharper as per Edge detection is considered.

Keywords: Image segmentation, edge Detection, noisy images, spatialfilters, stochastic gradient kernel.

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Authors: Ali Nadi, Ali Edrissi

Abstract:

Relief demand and transportation links availability is the essential information that is needed for every natural disaster operation. This information is not in hand once a disaster strikes. Relief demand and network condition has been evaluated based on prediction method in related works. Nevertheless, prediction seems to be over or under estimated due to uncertainties and may lead to a failure operation. Therefore, in this paper a stochastic programming model is proposed to evaluate real-time relief demand and network condition at the onset of a natural disaster. To address the time sensitivity of the emergency response, the proposed model uses reinforcement learning for optimization of the total relief assessment time. The proposed model is tested on a real size network problem. The simulation results indicate that the proposed model performs well in the case of collecting real-time information.

Keywords: Disaster management, real-time demand, reinforcement learning, relief demand.

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Authors: Weng Ming Chu

Abstract:

When faced with stochastic networks with an uncertain duration for their activities, the securing of network completion time becomes problematical, not only because of the non-identical pdf of duration for each node, but also because of the interdependence of network paths. As evidenced by Adlakha & Kulkarni [1], many methods and algorithms have been put forward in attempt to resolve this issue, but most have encountered this same large-size network problem. Therefore, in this research, we focus on network reduction through a Series/Parallel combined mechanism. Our suggested algorithm, named the Activity Network Reduction Algorithm (ANRA), can efficiently transfer a large-size network into an S/P Irreducible Network (SPIN). SPIN can enhance stochastic network analysis, as well as serve as the judgment of symmetry for the Graph Theory.

Keywords: Series/Parallel network, Stochastic network, Network reduction, Interdictive Graph, Complexity Index.

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Authors: A. A. Hussen, I. N. Jleta

Abstract:

Micro-electromechanical system (MEMS) accelerometers and gyroscopes are suitable for the inertial navigation system (INS) of many applications due to low price, small dimensions and light weight. The main disadvantage in a comparison with classic sensors is a worse long term stability. The estimation accuracy is mostly affected by the time-dependent growth of inertial sensor errors, especially the stochastic errors. In order to eliminate negative effects of these random errors, they must be accurately modeled. In this paper, the Allan variance technique will be used in modeling the stochastic errors of the inertial sensors. By performing a simple operation on the entire length of data, a characteristic curve is obtained whose inspection provides a systematic characterization of various random errors contained in the inertial-sensor output data.

Keywords: Allan variance, accelerometer, gyroscope, stochastic errors.

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Authors: Werner Sandmann, Verena Wolf

Abstract:

Stochastic models of biological networks are well established in systems biology, where the computational treatment of such models is often focused on the solution of the so-called chemical master equation via stochastic simulation algorithms. In contrast to this, the development of storage-efficient model representations that are directly suitable for computer implementation has received significantly less attention. Instead, a model is usually described in terms of a stochastic process or a "higher-level paradigm" with graphical representation such as e.g. a stochastic Petri net. A serious problem then arises due to the exponential growth of the model-s state space which is in fact a main reason for the popularity of stochastic simulation since simulation suffers less from the state space explosion than non-simulative numerical solution techniques. In this paper we present transition class models for the representation of biological network models, a compact mathematical formalism that circumvents state space explosion. Transition class models can also serve as an interface between different higher level modeling paradigms, stochastic processes and the implementation coded in a programming language. Besides, the compact model representation provides the opportunity to apply non-simulative solution techniques thereby preserving the possible use of stochastic simulation. Illustrative examples of transition class representations are given for an enzyme-catalyzed substrate conversion and a part of the bacteriophage λ lysis/lysogeny pathway.

Keywords: Computational Modeling, Biological Networks, Stochastic Models, Markov Chains, Transition Class Models.

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Authors: B. Janani, S. Thiruvenkadam

Abstract:

In this work, the system evaluates the impact of considering a stochastic approach on the day ahead basis Unit Commitment. Comparisons between stochastic and deterministic Unit Commitment solutions are provided. The Unit Commitment model consists in the minimization of the total operation costs considering unit’s technical constraints like ramping rates, minimum up and down time. Load shedding and wind power spilling is acceptable, but at inflated operational costs. The evaluation process consists in the calculation of the optimal unit commitment and in verifying the fulfillment of the considered constraints. For the calculation of the optimal unit commitment, an algorithm based on the Benders Decomposition, namely on the Dual Dynamic Programming, was developed. Two approaches were considered on the construction of stochastic solutions. Data related to wind power outputs from two different operational days are considered on the analysis. Stochastic and deterministic solutions are compared based on the actual measured wind power output at the operational day. Through a technique capability of finding representative wind power scenarios and its probabilities, the system can analyze a more detailed process about the expected final operational cost.

Keywords: Benders’ decomposition, network constrained AC unit commitment, stochastic programming, wind power uncertainty.

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Authors: Bassem Roushdy, Nahed Sobhy, Abdelrhim Abdelhamid, Ahmed Mahmoud

Abstract:

Most papers model Joint Replenishment Problem (JRP) as a (kT,S) where kT is a multiple value for a common review period T,and S is a predefined order up to level. In general the (T,S) policy is characterized by a long out of control period which requires a large amount of safety stock compared to the (R,Q) policy. In this paper a probabilistic model is built where an item, call it item(i), with the shortest order time between interval (T)is modeled under (R,Q) policy and its inventory is continuously reviewed, while the rest of items (j) are periodically reviewed at a definite time corresponding to item

Keywords: Inventory management, Joint replenishment, policy evaluation, stochastic process

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Authors: Yong Li

Abstract:

The paper is concerned with the existence of solution of nonlinear second order neutral stochastic differential inclusions with infinite delay in a Hilbert Space. Sufficient conditions for the existence are obtained by using a fixed point theorem for condensing maps.

Keywords: Mild solution, Convex multivalued map, Neutral stochastic differential inclusions.

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Authors: Mojtaba Aghamiri Esfahani, Mohammad Karkon, Seyed Majid Hosseini Nezhad, Reza Hosseini-Ara

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In this study, the effect of uncertainty in elastic modulus of a plate on free vibration response is investigated. For this purpose, the elastic modulus of the plate is modeled as stochastic variable with normal distribution. Moreover, the distance autocorrelation function is used for stochastic field. Then, by applying the finite element method and Monte Carlo simulation, stochastic finite element relations are extracted. Finally, with a numerical test, the effect of uncertainty in the elastic modulus on free vibration response of a plate is studied. The results show that the effect of uncertainty in elastic modulus of the plate cannot play an important role on the free vibration response.

Keywords: Stochastic finite elements, plate bending, free vibration, Monte Carlo, Neumann expansion method.

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Authors: Nitin Gupta, Rakesh Kumar Bajaj

Abstract:

In the present communication, stochastic comparison of a series (parallel) system having heterogeneous components with random lifetimes and series (parallel) system having homogeneous exponential components with random lifetimes has been studied. Further, conditions under which such a comparison is possible has been established.

Keywords: Exponential distribution, Order statistics, Star ordering, Stochastic ordering.

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Authors: Amira, A. Goma, U. E. Mahrous

Abstract:

Measuring the effect of perinatal lead exposure on learning ability of offspring is considered as a sensitive and selective index for providing an early marker for central nervous system damage produced by this toxic metal. A total of 35 Sprague-Dawley adult rats were used to investigate the effect of lead acetate toxicity on behavioral patterns of adult female rats and learning ability of offspring. Rats were allotted into 4 groups, group one received 1g/l lead acetate (n=10), group two received 1.5g/l lead acetate (n=10), group three received 2g/l lead acetate in drinking water (n=10) and control group did not receive lead acetate (n=5) from 8^th day of pregnancy till weaning of pups.

The obtained results revealed a dose dependent increase in the feeding time, drinking frequency, licking frequency, scratching frequency, licking litters, nest building and retrieving frequencies, while standing time increased significantly in rats treated with 1.5g/l lead acetate than other treated groups and control, on contrary lying time decreased gradually in a dose dependent manner. Moreover, movement activities were higher in rats treated with 1g/l lead acetate than other treated groups and control. Furthermore, time spent in closed arms was significantly lower in rats given 2g/l lead acetate than other treated groups, while, they spent significantly much time spent in open arms than other treated groups which could be attributed to occurrence of adaptation. Furthermore, number of entries in open arms was dose dependent. However, the ratio between open/closed arms revealed a significant decrease in rats treated with 2g/l lead acetate than control group.

Keywords: Lead toxicity, rats, learning ability, behavior.

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Authors: Irwin Ma, Tony Wong, Thiagas Sankar

Abstract:

By systematically applying different engineering methods, difficult financial problems become approachable. Using a combination of theory and techniques such as wavelet transform, time series data mining, Markov chain based discrete stochastic optimization, and evolutionary algorithms, this work formulated a strategy to characterize and forecast non-linear time series. It attempted to extract typical features from the volatility data sets of S&P100 and S&P500 indices that include abrupt drops, jumps and other non-linearity. As a result, accuracy of forecasting has reached an average of over 75% surpassing any other publicly available results on the forecast of any financial index.

Keywords: Discrete stochastic optimization, genetic algorithms, genetic programming, volatility forecast

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Authors: Zixin Liu, Huawei Yang, Fangwei Chen

Abstract:

This paper studies the mean square exponential synchronization problem of a class of stochastic neutral type chaotic neural networks with mixed delay. On the Basis of Lyapunov stability theory, some sufficient conditions ensuring the mean square exponential synchronization of two identical chaotic neural networks are obtained by using stochastic analysis and inequality technique. These conditions are expressed in the form of linear matrix inequalities (LMIs), whose feasibility can be easily checked by using Matlab LMI Toolbox. The feedback controller used in this paper is more general than those used in previous literatures. One simulation example is presented to demonstrate the effectiveness of the derived results.

Keywords: Exponential synchronization, stochastic analysis, chaotic neural networks, neutral type system.

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Authors: Y. Wu

Abstract:

Today-s business has inevitably been set in the global supply chain management environment. International transportation has never played such an important role in the global supply chain network, because movement of shipments from one country to another tends to be more frequent than ever before. This paper studies international transportation problems experienced by an international transportation company. Because of the limited fleet capacity, the transportation company has to hire additional trucks from two countries in advance. However, customer-s shipment information is uncertain, and decisions have to be made before accurate information can be obtained. This paper proposes a stochastic mixed 0-1 programming model to solve the international transportation problems under uncertain demand. A series of experiments demonstrate the effectiveness of the proposed stochastic model.

Keywords: Global supply chain management, international transportation, stochastic programming.

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Authors: Nilar Win Kyaw

Abstract:

In cryptography, confusion and diffusion are very important to get confidentiality and privacy of message in block ciphers and stream ciphers. There are two types of network to provide confusion and diffusion properties of message in block ciphers. They are Substitution- Permutation network (S-P network), and Feistel network. NLFS (Non-Linear feedback stream cipher) is a fast and secure stream cipher for software application. NLFS have two modes basic mode that is synchronous mode and self synchronous mode. Real random numbers are non-deterministic. R-box (random box) based on the dynamic properties and it performs the stochastic transformation of data that can be used effectively meet the challenges of information is protected from international destructive impacts. In this paper, a new implementation of stochastic transformation will be proposed.

Keywords: S-P network, Feistel network, R-block, stochastic transformation

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Authors: Joabe Silva, Ginalber Serra

Abstract:

This paper proposes the analysis and design of robust fuzzy control to Stochastic Parametrics Uncertaint Linear systems. This system type to be controlled is partitioned into several linear sub-models, in terms of transfer function, forming a convex polytope, similar to LPV (Linear Parameters Varying) system. Once defined the linear sub-models of the plant, these are organized into fuzzy Takagi- Sugeno (TS) structure. From the Parallel Distributed Compensation (PDC) strategy, a mathematical formulation is defined in the frequency domain, based on the gain and phase margins specifications, to obtain robust PI sub-controllers in accordance to the Takagi- Sugeno fuzzy model of the plant. The main results of the paper are based on the robust stability conditions with the proposal of one Axiom and two Theorems.

Keywords: Fuzzy Systems; Robust Stability, Stochastic Control, Stochastic Process

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Authors: Miljan B. Petrović, Dušan B. Petrović, Goran S. Nikolić

Abstract:

This paper describes a method for AWGN (Additive White Gaussian Noise) variance estimation in noisy stochastic signals, referred to as Multiplicative-Noising Variance Estimation (MNVE). The aim was to develop an estimation algorithm with minimal number of assumptions on the original signal structure. The provided MATLAB simulation and results analysis of the method applied on speech signals showed more accuracy than standardized AR (autoregressive) modeling noise estimation technique. In addition, great performance was observed on very low signal-to-noise ratios, which in general represents the worst case scenario for signal denoising methods. High execution time appears to be the only disadvantage of MNVE. After close examination of all the observed features of the proposed algorithm, it was concluded it is worth of exploring and that with some further adjustments and improvements can be enviably powerful.

Keywords: Noise, signal-to-noise ratio, stochastic signals, variance estimation.

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Authors: Leila Jafari, Viliam Makis

Abstract:

In this paper, the joint optimization of the economic manufacturing quantity (EMQ), safety stock level, and condition-based maintenance (CBM) is presented for a partially observable, deteriorating system subject to random failure. The demand is stochastic and it is described by a Poisson process. The stochastic model is developed and the optimization problem is formulated in the semi-Markov decision process framework. A modification of the policy iteration algorithm is developed to find the optimal policy. A numerical example is presented to compare the optimal policy with the policy considering zero safety stock.

Keywords: Condition-based maintenance, economic manufacturing quantity, safety stock, stochastic demand.

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Authors: Mao Wei

Abstract:

The main aim of this paper is to investigate the exponential stability of the Euler method for a stochastic age-dependent population equations with Poisson random measures. It is proved that the Euler scheme is exponentially stable in mean square sense. An example is given for illustration.

Keywords: Stochastic age-dependent population equations, poisson random measures, numerical solutions, exponential stability.

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Authors: M. Reni Sagayaraj, S. Anand Gnana Selvam, R. Reynald Susainathan

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We analyze stochastic integrals associated with a mutation process. To be specific, we describe the cell population process and derive the differential equations for the joint generating functions for the number of mutants and their integrals in generating functions and their applications. We obtain first-order moments of the processes of the two-way mutation process in first-order moment structure of X (t) and Y (t) and the second-order moments of a one-way mutation process. In this paper, we obtain the limiting behaviour of the integrals in limiting distributions of X (t) and Y (t).

Keywords: Stochastic integrals, single–server queue model, catastrophes, busy period.

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Authors: N. C. Sarkar, A. Bhaskar, Z. Zheng

Abstract:

The driving behavior in area-based (i.e., non-lane based) traffic is induced by the presence of other individuals in the choice space from the driver’s visual perception area. The driving behavior of a subject vehicle is constrained by the potential leaders and leaders are frequently changed over time. This paper is to determine a stochastic model for a parameter of modified intelligent driver model (MIDM) in area-based traffic (as in developing countries). The parametric and non-parametric distributions are presented to fit the parameters of MIDM. The goodness of fit for each parameter is measured in two different ways such as graphically and statistically. The quantile-quantile (Q-Q) plot is used for a graphical representation of a theoretical distribution to model a parameter and the Kolmogorov-Smirnov (K-S) test is used for a statistical measure of fitness for a parameter with a theoretical distribution. The distributions are performed on a set of estimated parameters of MIDM. The parameters are estimated on the real vehicle trajectory data from India. The fitness of each parameter with a stochastic model is well represented. The results support the applicability of the proposed modeling for parameters of MIDM in area-based traffic flow simulation.

Keywords: Area-based traffic, car-following model, micro-simulation, stochastic modeling.

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Authors: Hao Wu, Jonathan L. Shapiro

Abstract:

The Bayesian Optimization Algorithm (BOA) is an algorithm based on the estimation of distributions. It uses techniques from modeling data by Bayesian networks to estimating the joint distribution of promising solutions. To obtain the structure of Bayesian network, different search algorithms can be used. The key point that BOA addresses is whether the constructed Bayesian network could generate new and useful solutions (strings), which could lead the algorithm in the right direction to solve the problem. Undoubtedly, this ability is a crucial factor of the efficiency of BOA. Varied search algorithms can be used in BOA, but their performances are different. For choosing better ones, certain suitable method to present their ability difference is needed. In this paper, a greedy search algorithm and a stochastic search algorithm are used in BOA to solve certain optimization problem. A method using Kullback-Leibler (KL) Divergence to reflect their difference is described.

Keywords: Bayesian optimization algorithm, greedy search, KL divergence, stochastic search.

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Authors: Edikan E. Akpanibah, Okwigbedi Oghen’Oro

Abstract:

In this paper, we studied the optimal portfolio selection in a defined contribution (DC) pension scheme with multiple contributors under constant elasticity of variance (CEV) model and the impact of stochastic additional voluntary contribution on the investment strategies. We assume that the voluntary contributions are stochastic and also consider investments in a risk free asset and a risky asset to increase the expected returns of the contributing members. We derived a stochastic differential equation which consists of the members’ monthly contributions and the invested fund and obtained an optimized problem with the help of Hamilton Jacobi Bellman equation. Furthermore, we find an explicit solution for the optimal investment strategy with stochastic voluntary contribution using power transformation and change of variables method and the corresponding optimal fund size was obtained. We discussed the impact of the voluntary contribution on the optimal investment strategy with numerical simulations and observed that the voluntary contribution reduces the optimal investment strategy of the risky asset.

Keywords: DC pension fund, Hamilton-Jacobi-Bellman, optimal investment strategies, power transformation method, stochastic, voluntary contribution.

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Authors: Fang Shu, Li Lihua, Zhang Ping

Abstract:

A general stochastic spatial MIMO channel model is proposed for evaluating various MIMO techniques in this paper. It can generate MIMO channels complying with various MIMO configurations such as smart antenna, spatial diversity and spatial multiplexing. The modeling method produces the stochastic fading involving delay spread, Doppler spread, DOA (direction of arrival), AS (angle spread), PAS (power azimuth Spectrum) of the scatterers, antenna spacing and the wavelength. It can be applied in various MIMO technique researches flexibly with low computing complexity.

Keywords: MIMO channel, Spatial Correlation, DOA, AS, PAS.

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Authors: Tomoaki Hashimoto

Abstract:

Recently, feedback control systems using random dither quantizers have been proposed for linear discrete-time systems. However, the constraints imposed on state and control variables have not yet been taken into account for the design of feedback control systems with random dither quantization. Model predictive control is a kind of optimal feedback control in which control performance over a finite future is optimized with a performance index that has a moving initial and terminal time. An important advantage of model predictive control is its ability to handle constraints imposed on state and control variables. Based on the model predictive control approach, the objective of this paper is to present a control method that satisfies probabilistic state constraints for linear discrete-time feedback control systems with random dither quantization. In other words, this paper provides a method for solving the optimal control problems subject to probabilistic state constraints for linear discrete-time feedback control systems with random dither quantization.

Keywords: Optimal control, stochastic systems, discrete-time systems, probabilistic constraints, random dither quantization.

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