Corpus ID: 220935989

Quantifying and managing uncertainty in piecewise-deterministic Markov processes

@article{Cartee2020QuantifyingAM,
  title={Quantifying and managing uncertainty in piecewise-deterministic Markov processes},
  author={Elliot Cartee and Antonio Farah and A. Nellis and Jacob Van Hook and A. Vladimirsky},
  journal={arXiv: Optimization and Control},
  year={2020}
}
In piecewise-deterministic Markov processes (PDMP) the state of a finite-dimensional system evolves dynamically, but the evolutive equation may change randomly as a result of discrete switches. A running cost is integrated along the corresponding piecewise-deterministic trajectory up to the termination to produce the cumulative cost of the process. We address three natural questions related to uncertainty in cumulative cost of PDMP models: (1) how to compute the Cumulative Distribution Function… Expand

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