Related papers: Probabilistic Reachability of Discrete-Time Nonlin…
Controllers for autonomous systems that operate in safety-critical settings must account for stochastic disturbances. Such disturbances are often modelled as process noise, and common assumptions are that the underlying distributions are…
Controllers for dynamical systems that operate in safety-critical settings must account for stochastic disturbances. Such disturbances are often modeled as process noise in a dynamical system, and common assumptions are that the underlying…
We study the convergence behavior of the stochastic heavy-ball method with a small stepsize. Under a change of time scale, we approximate the discrete method by a stochastic differential equation that models small random perturbations of a…
This paper proposes a probabilistic Bayesian formulation for system identification (ID) and estimation of nonseparable Hamiltonian systems using stochastic dynamic models. Nonseparable Hamiltonian systems arise in models from diverse…
Physical systems experience nonlinear disturbances which have the potential to disrupt desired behavior. For a particular disturbance, whether or not the system recovers from the disturbance to a desired stable equilibrium point depends on…
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…
Recently, progress has been made in the theory of turbulence, which provides a framework on how a deterministic process changes to a stochastic one owing to the change in thermodynamic states. It is well known that, in the framework of…
Devising optimal interventions for constraining stochastic systems is a challenging endeavour that has to confront the interplay between randomness and nonlinearity. Existing methods for identifying the necessary dynamical adjustments…
An important mathematical tool in the analysis of dynamical systems is the approximation of the reach set, i.e., the set of states reachable after a given time from a given initial state. This set is difficult to compute for complex systems…
This paper proposes a mechanism to fine-tune convex approximations of probabilistic reachable sets (PRS) of uncertain dynamic systems. We consider the case of unbounded uncertainties, for which it may be impossible to find a bounded…
Estimation of solution norms and stability for time-dependent nonlinear systems is ubiquitous in numerous engineering, natural science and control problems. Yet, practically valuable results are rare in this area. This paper develops a…
We study stochastic dynamical systems in settings where only partial statistical information about the noise is available, e.g., in the form of a limited number of noise realizations. Such systems are particularly challenging to analyze and…
Stochastic gradient descent (SGD) has been widely used in machine learning due to its computational efficiency and favorable generalization properties. Recently, it has been empirically demonstrated that the gradient noise in several deep…
In this paper, we address the stochastic reach-avoid problem for linear systems with additive stochastic uncertainty. We seek to compute the maximum probability that the states remain in a safe set over a finite time horizon and reach a…
One of the most important problems in hybrid systems is the {\em reachability problem}. The reachability problem has been shown to be undecidable even for a subclass of {\em linear} hybrid systems. In view of this, the main focus in the…
In this paper we discuss distributional robustness in the context of stochastic model predictive control (SMPC) for linear time-invariant systems. We derive a simple approximation of the MPC problem under an additive zero-mean i.i.d. noise…
We devise a distributed asynchronous stochastic epsilon-gradient-based algorithm to enable a network of computing and communicating nodes to solve a constrained discrete-time time-varying stochastic convex optimization problem. Each node…
We consider potential type dynamical systems in finite dimensions with two meta-stable states. They are subject to two sources of perturbation: a slow external periodic perturbation of period $T$ and a small Gaussian random perturbation of…
The current series of papers is concerned with stochastic stability of monotone dynamical systems by identifying the basic dynamical units that can survive in the presence of noise interference. In the first of the series, for the…
We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It\^o stochastic differential equation conditional on an observation taken at a fixed future time-point. Such…