Universality and Control of Fat Tails

Michael Chertkov

doi:10.1109/LCSYS.2023.3279248

Universality and Control of Fat Tails

Michael Chertkov

Mathematics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

Motivated by applications in hydrodynamics and networks of thermostatically-control loads in buildings we study control of linear dynamical systems driven by additive and also multiplicative noise of a general position. Utilizing mathematical theory of stochastic multiplicative processes we present a universal way to estimate fat, algebraic tails of the state vector probability distributions. This prompts us to introduce and analyze mean-q-power stability criterion, generalizing the mean-square stability criterion, and then juxtapose it to other tools in control.

Original language	English (US)
Pages (from-to)	1718-1723
Number of pages	6
Journal	IEEE Control Systems Letters
Volume	7
DOIs	https://doi.org/10.1109/LCSYS.2023.3279248
State	Published - 2023

Keywords

Control applications
fluid flow systems
stochastic systems

ASJC Scopus subject areas

Control and Systems Engineering
Control and Optimization

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10.1109/LCSYS.2023.3279248

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AB - Motivated by applications in hydrodynamics and networks of thermostatically-control loads in buildings we study control of linear dynamical systems driven by additive and also multiplicative noise of a general position. Utilizing mathematical theory of stochastic multiplicative processes we present a universal way to estimate fat, algebraic tails of the state vector probability distributions. This prompts us to introduce and analyze mean-q-power stability criterion, generalizing the mean-square stability criterion, and then juxtapose it to other tools in control.

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KW - stochastic systems

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Universality and Control of Fat Tails

Abstract

Keywords

ASJC Scopus subject areas

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