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CATEGORIES:CUED Control Group Seminars
SUMMARY:The stability of systems in stochastic feedback lo
ops - Roy Smith\, ETH Zürich
DTSTART;TZID=Europe/London:20190125T140000
DTEND;TZID=Europe/London:20190125T150000
UID:TALK116716AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/116716
DESCRIPTION:Stochastic feedback systems give rise to a variety
of notions of stability: median\, mean\, and vari
ance stability conditions differ. These condition
s can be stated explicitly for scalar discrete-tim
e systems with (almost) arbitrary distributions of
the stochastic feedback gain. The state variable
in such systems evolves towards a heavy-tailed di
stribution and exhibits some non-intuitive charact
eristics. For example\, one can use stochastic fe
edback to stabilise unstable systems where one doe
s not even know the sign of the unstable pole or t
he sign of the system gain. A more dramatic examp
le is an investment scheme which simultaneously yi
elds unbounded expected profit and almost certain
bankruptcy to every investor.
LOCATION:Cambridge University Engineering Department\, Lect
ure Room 4
CONTACT:Alberto Padoan
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