Related papers: Concentration inequalities for random dynamical sy…
In this paper, we study moment and concentration inequalities for the spectral norm of sums of dependent random matrices. We establish novel Rosenthal-Burkholder inequalities for discrete-time matrix local martingales,…
We provide a brief tutorial on the use of concentration inequalities as they apply to system identification of state-space parameters of linear time invariant systems, with a focus on the fully observed setting. We draw upon tools from the…
For dynamical systems modeled by a Young tower with exponential tails, we prove an exponential concentration inequality for all separately Lipschitz observables of n variables. When tails are polynomial, we prove polynomial concentration…
New Vapnik and Chervonenkis type concentration inequalities are derived for the empirical distribution of an independent random sample. Focus is on the maximal deviation over classes of Borel sets within a low probability region. The…
We start by reviewing recent probabilistic results on ergodic sums in a large class of (non-uniformly) hyperbolic dynamical systems. Namely, we describe the central limit theorem, the almost-sure convergence to the gaussian and other stable…
We consider the problem of robust diffusive stability (RDS) for a pair of coupled stable discrete-time positive linear-time invariant (LTI) systems. We first show that the existence of a common diagonal Lyapunov function is sufficient for…
We study random dynamical systems on the real line, considering each dynamical system together with the one generated by the inverse maps. We show that there is a duality between forward and inverse behaviour for such systems, splitting…
We obtain Rosenthal-type inequalities with sharp constants for moments of sums of independent random variables which are mixtures of a fixed distribution. We also identify extremisers in log-concave settings when the moments of summands are…
We show that the thermal subadditivity of entropy provides a common basis to derive a strong form of the bounded difference inequality and related results as well as more recent inequalities applicable to convex Lipschitz functions, random…
For a dynamical system, it is known that the existence of a Lyapunov-type density function, called Lyapunov density or Rantzer's density function, implies convergence of Lebesgue almost all solutions to an equilibrium. Using the duality…
We give a concentration inequality based on the premise that random variables take values within a particular region. The concentration inequality guarantees that, for any sequence of correlated random variables, the difference between the…
We derive novel concentration inequalities that bound the statistical error for a large class of stochastic optimization problems, focusing on the case of unbounded objective functions. Our derivations utilize the following key tools: 1) A…
We present new concentration of measure inequalities for Markov chains, generalising results for chains that are contracting in Wasserstein distance. These are particularly suited to establishing the cut-off phenomenon for suitable chains.…
A sequence of invertible matrices given by a small random perturbation around a fixed diagonal partially hyperbolic matrix induces a random dynamics on the Grassmann manifolds. Under suitable weak conditions it is known to have a unique…
In this paper, we study Random Dynamical Systems (RDSs) of homeomorphisms on the circle without a finite orbit. We characterize the topological dynamics of the associated semigroup by identifying the existence of invariant sets which are…
The method to derive uniform bounds with Gaussian and Rademacher complexities is extended to the case where the sample average is replaced by a nonlinear statistic. Tight bounds are obtained for U-statistics, smoothened L-statistics and…
We claim that looking at probability distributions of \emph{finite time} largest Lyapunov exponents, and more precisely studying their large deviation properties, yields an extremely powerful technique to get quantitative estimates of…
We study proximal random dynamical systems of homeomorphisms of the circle without a common fixed point. We prove the existence of two random points that govern the behavior of the forward and backward orbits of the system. Assuming the…
In this paper, we study concentration phenomena of zero-noise limits of invariant measures for stochastic differential equations defined on $\mathbb{R}^d$ with locally Lipschitz continuous coefficients and more than one ergodic state. Under…
We introduce the notion of Lyapunov exponents for random dynamical systems, conditioned to trajectories that stay within a bounded domain for asymptotically long times. This is motivated by the desire to characterize local dynamical…