Dynamic approximation of a random information functional

DOI10.1016/J.JMAA.2006.04.041MaRDI QIDQ5898327zbMATH OpenOpenAlexFDO

Authors Vladimir S. Lerner

Publication date 9 January 2007

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2006.04.041

zbMATH Keywords

functional actionpath functionalprobabilistic approximationvariation principle

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Feedback control (93B52) Optimal stochastic control (93E20)

Review text

Uncovering unknown dynamic regularities of a random process is an actual problem in the theory of dynamic and stochastic systems. Numerous examples from physics show that regularities of deterministic and stochastic systems are formulated and formalized by some extremal principles: a real movement of a physical system represents trajectory-extremals of some functional. This paper has a primary goal of applying the above extremal principle for an approximation of the process' extremals by the most probable objects' trajectories. The model of a controlled random (micro)process (as a solution of a stochastic equation with a class of control functions), the models of the disturbances, and a programmable process are introduced, followed by an extremal probabilistic aproximation of the microprocess with the aid of the applied control. The probabilistic evaluation of the micro- and the macrolevel processes is provided. The probabilities of the processes' proximity, based on the process trajectories' metrical space distances, are applied to evaluate the upper and lower limits of the aproximation. Using the ``functional action approach, the extremal problem is expressed by the functionals and the dynamic (macro)trajectories (determined by the parameters of the stochastic equation) and their closeness to the macroprocess' conditional entropy.

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Cited in

(13)

• The boundary value problem and the jensen inequality for an entropy functional of a Markov diffusion process
• Directed paths in random media, function approximation and nonlinear regression.
• Solution to the variation problem for information path functional of a controlled random process
• Approximate Solutions of Lagrange Multipliers for Information-Theoretic Random Field Models
• The entropy functional's and the information path functional's basics with the thermodynamics and cooperative information dynamics applications
• INFORMATION MACRODYNAMIC MODEL AND INFORMATION STRUCTURE OF A MARKET ECONOMIC SYSTEM
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• Macrodynamic cooperative complexity of information dynamics
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