Universality and Control of Fat Tails

Research output: Contribution to journalArticlepeer-review

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 languageEnglish (US)
Pages (from-to)1718-1723
Number of pages6
JournalIEEE Control Systems Letters
Volume7
DOIs
StatePublished - 2023

Keywords

  • Control applications
  • fluid flow systems
  • stochastic systems

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Control and Optimization

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