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SUMMARY:The stability of systems in stochastic feedback loops - Roy Smith\
 , ETH Zürich 
DTSTART:20190125T140000Z
DTEND:20190125T150000Z
UID:TALK116716@talks.cam.ac.uk
CONTACT:Alberto Padoan
DESCRIPTION:Stochastic feedback systems give rise to a variety of notions 
 of stability: median\, mean\, and variance stability conditions differ.  T
 hese conditions can be stated explicitly for scalar discrete-time systems 
 with (almost) arbitrary distributions of the stochastic feedback gain.  Th
 e state variable in such systems evolves towards a heavy-tailed distributi
 on and exhibits some non-intuitive characteristics.  For example\, one can
  use stochastic feedback to stabilise unstable systems where one does not 
 even know the sign of the unstable pole or the sign of the system gain.  A
  more dramatic example is an investment scheme which simultaneously yields
  unbounded expected profit and almost certain bankruptcy to every investor
 .
LOCATION:Cambridge University Engineering Department\, Lecture Room 4
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