Modeling of Linear Markovian Jump systems
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Hi There
I have got a markovian jump linear system to the form of dx(t)=A(r(t))x(t), where r(t) is a Markov chain in {1,2,3} with a transition matrix of [-3 1.8 1.2;0.3 -2 1.7;0.3 0.7 -1], and dynamics of: A(r(t)=1)=[0.2 0.1; 0 -1] and A(r(t)=2)=[-1 0.1;0.2 -2] and A(r(t)=3)=[0,2 0;0 0.3]. I want to plot the evolution of the state x(t) and the mode r(t), can any body give me any clue that how can I write the codes? It is my first time to work with stochastic processes.
thanks
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