While Markov jump systems (MJSs) are more appropriate than LTI systems in terms of modeling abruptly changing dynamics, MJSs (and other switched systems) may suffer from the model complexity brought by the potentially sheer number of switching modes. Much of the existing work on reducing switched systems focuses on the state space where techniques such as discretization and dimension reduction are performed, yet reducing mode complexity receives few attention. In this work, inspired by clustering techniques from unsupervised learning, we propose a reduction method for MJS such that a mode-reduced MJS can be constructed with guaranteed approximation performance. Furthermore, we show how this reduced MJS can be used in designing controllers for the original MJS to reduce the computation cost while maintaining guaranteed suboptimality. Keywords: Markov Jump Systems, System Reduction, Clustering
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Mode Clustering for Markov Jump Systems
In this work, we consider the problem of mode clustering in Markov jump models. This model class consists of multiple dynamical modes with a switching sequence that determines how the system switches between them over time. Under different active modes, the observations can have different characteristics. Given the observations only and without knowing the mode sequence, the goal is to cluster the modes based on their transition distributions in the Markov chain to find a reduced-rank Markov matrix that is embedded in the original Markov chain. Our approach involves mode sequence estimation, mode clustering and reduced-rank model estimation, where mode clustering is achieved by applying the singular value decomposition and k-means. We show that, under certain conditions, the clustering error can be bounded, and the reduced-rank Markov chain is a good approximation to the original Markov chain. Through simulations, we show the efficacy of our approach and the application of our approach to real world scenarios.
Index Terms—Switched model, Markov chain, clustering
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- NSF-PAR ID:
- 10137575
- Date Published:
- Journal Name:
- IEEE CAMSAP 2019
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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