Stochasticity in Feedback Loops: Great Expectations and Guaranteed Ruin

DOI10.1109/MCS.2020.3048453zbMATH Open1477.93170arXiv1912.08267OpenAlexW3144257298WikidataQ131466777 ScholiaQ131466777MaRDI QIDQ5019538FDOQ5019538

Authors: Roy S. Smith, Bassam Bamieh 

Publication date: 10 January 2022

Published in: IEEE Control Systems (Search for Journal in Brave)

Abstract: Stochastic feedback systems give rise to a variety of notions of stability. The conditions for the stability of the median, mean, and variance stability conditions differ. These conditions can be stated explicitly for scalar discrete-time systems with (almost) arbitrary distributions of the stochastic feedback gain. The state variable in such systems evolves towards a heavy-tailed distribution and exhibits some non-intuitive characteristics. For example, one can use stochastic feedback to stabilise unstable systems where one does not know the sign of the unstable pole or the sign of the system gain. A more dramatic example is an investment scheme which simultaneously yields unbounded expected profit and almost certain bankruptcy to every investor.

Full work available at URL: https://arxiv.org/abs/1912.08267

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Mathematics Subject Classification ID

Decentralized systems (93A14) Linear systems in control theory (93C05) Stochastic stability in control theory (93E15)

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