Han, SooJean and Chung, Soon-Jo (2021) Incremental Nonlinear Stability Analysis for Stochastic Systems Perturbed by Lévy Noise. . (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20210510-141340828
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Abstract
We present a theoretical framework for characterizing incremental stability of nonlinear stochastic systems perturbed by additive noise of two types: compound Poisson shot noise and bounded-measure Lévy noise. For each type, we show that trajectories of the system with distinct initial conditions and noise sample paths exponentially converge towards a bounded error ball of each other in the expected mean-squared sense under certain boundedness assumptions. The practical utilities of this study include the model-based design of stochastic controllers/observers that are able to handle a much broader class of noise than Gaussian white. We demonstrate our results using three case studies.
Item Type: | Report or Paper (Discussion Paper) | ||||||
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Additional Information: | Attribution 4.0 International (CC BY 4.0). The authors would like to thank John C. Doyle for the insights he provided as motivation for this work. | ||||||
Group: | GALCIT | ||||||
Record Number: | CaltechAUTHORS:20210510-141340828 | ||||||
Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20210510-141340828 | ||||||
Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||
ID Code: | 109050 | ||||||
Collection: | CaltechAUTHORS | ||||||
Deposited By: | George Porter | ||||||
Deposited On: | 10 May 2021 21:36 | ||||||
Last Modified: | 10 May 2021 21:36 |
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