相关论文: Computing the stochastic $H^\infty$-norm

The purpose of this paper is to formulate and solve a H-infinity controller synthesis problem for a class of non-commutative linear stochastic systems which includes many examples of interest in quantum technology. The paper includes…

We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first develop a semi-exact log-Euler scheme for the Heston model with…

We consider a finite horizon linear discrete time varying system whose input is a random noise with an imprecisely known probability law. The statistical uncertainty is described by a nonnegative parameter a which constrains the anisotropy…

The differential $\mathcal{L}_{2,p}$ gain of a linear, time-invariant, $p$-dominant system is shown to coincide with the $\mathcal{H}_{\infty,p}$ norm of its transfer function $G$, defined as the essential supremum of the absolute value of…

This paper proposes a direct, and simple approach to the H infinity norm calculation in more general settings. In contrast to the method based on the Kalman-Yakubovich-Popov lemma, our approach does not require a controllability assumption,…

A commonly employed measure of the signal amplification properties of an input/output system is its induced L2 norm, sometimes also known as "H infinity" gain. In general, however, it is extremely difficult to compute the numerical value…

A stochastic Lie system on a manifold $M$ is a stochastic differential equation whose dynamics is described by a linear combination with functions depending on $\mathbb{R}^\ell$-valued semi-martigales of vector fields on $M$ spanning a…

Uncertainties are abundant in complex systems. Mathematical models for these systems thus contain random effects or noises. The models are often in the form of stochastic differential equations, with some parameters to be determined by…

This paper is concerned with linear stochastic systems whose output is a stationary Gaussian random process related by an integral operator to a standard Wiener process at the input. We consider a performance criterion which involves the…

Stochastic line integrals provide a useful tool for quantitatively characterizing irreversibility and detailed balance violation in noise-driven dynamical systems. A particular realization is the stochastic area, recently studied in coupled…

The paper deals with the H2-norm and associated energy or power measurements for a class of processes known as CSVIU (Control and State Variation Increase Uncertainty). These are system models for which a stochastic process conveys the…

We express the probabilistic character associated to the wave function by treating it as a stochastic variable. This is accomplished by means of a stochastic equation for the wave function whose noise changes the phase of the wave function…

To analyze the stability of It\^o stochastic differential equations with multiplicative noise, we introduce the stochastic logarithmic norm. The logarithmic norm was originally introduced by G. Dahlquist in 1958 as a tool to study the…

We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic…

This paper proposes a methodology to estimate characteristic functions of stochastic differential equations that are defined over polynomials and driven by L\'evy noise. For such systems, the time evolution of the characteristic function is…

In this work, we present a detailed analysis on the exact expression of the $L^2$-norm of the symmetric-Stratonovich stochastic integral driven by a multi-dimensional fractional Brownian motion $B$ with parameter $\frac{1}{4} < H <…

In recent years, many difficulties appeared when taking into account the inherent stochastic behavior of neurons and voltage-dependent ion channels in Hodgking-Huxley type models. In particular, an open problem for a stochastic model of…

In this paper, a new approach based on convex analysis is introduced to solve the $H_\infty$ problem for discrete-time nonlinear stochastic systems. A stochastic version of bounded real lemma is proved and the state feedback $H_\infty$…

Stochastic quantisation normally involves the introduction of a fictitious extra time parameter, which is taken to infinity so that the system evolves to an equilibrium state.In the case of a locally supersymmetric theory, an interesting…

Estimating the parameters governing the dynamics of a system is a prerequisite for its optimal control. We present a simple but powerful method that we call STEADY, for STochastic Estimation algorithm for DYnamical variables, to estimate…