Analysis of stochastic hybrid systems using path integrals

Ravi K. Prasanth

doi:10.1117/12.487038

25 August 2003 Analysis of stochastic hybrid systems using path integrals

Ravi K. Prasanth

Proceedings Volume 5096, Signal Processing, Sensor Fusion, and Target Recognition XII; (2003) https://doi.org/10.1117/12.487038
Event: AeroSense 2003, 2003, Orlando, Florida, United States

Abstract

Mathematical models of systems arising in many practical applications are hybrid systems with both discrete-event and continuum dynamics. Theoretical and computational techniques for their analysis have largely focused on non-stochastic systems. This paper presents the path integral formalism of Feynman and Kac as an analysis framework for stochastic hybrid systems. The sum over paths formula fits well into existing behavioral approach to hybrid dynamical systems. It also provides a computational tool through particle-based methods which are widely used in nonlinear filtering.

Citation Download Citation

Ravi K. Prasanth "Analysis of stochastic hybrid systems using path integrals", Proc. SPIE 5096, Signal Processing, Sensor Fusion, and Target Recognition XII, (25 August 2003); https://doi.org/10.1117/12.487038

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