论文标题

随机系统的行为理论?从Willems到Wiener的数据驱动的旅程,然后再次返回

Behavioral Theory for Stochastic Systems? A Data-driven Journey from Willems to Wiener and Back Again

论文作者

Faulwasser, Timm, Ou, Ruchuan, Pan, Guanru, Schmitz, Philipp, Worthmann, Karl

论文摘要

Jan C. Willems和同事的基本引理植根于行为系统理论,已成为最新进度数据驱动控制和系统分析进展的支持支柱之一。该教程风格的论文结合了对引理的随机和描述系统制剂的最新见解,以进一步扩展和扩大随机线性系统行为理论的形式基础。我们显示了$ l^2 $ - 随机变量的系列扩展 - 尤其是多项式混乱扩展(PCE),它可以追溯到诺伯特·维纳(Norbert Wiener)的开创性工作 - 启用线性随机系统的等效行为特征。具体而言,我们证明在温和的假设下,$ l^2 $ -random变量的动力学行为相当于串联扩展系数的动力学的行为,并且需要由采样实现轨迹组成的行为。我们还说明了与统计矩的时间进化相关的行为的缩写。该论文最终以线性(描述符)系统的随机基本引理的形式达到高潮,进而使数据驱动的随机随机最佳控制结合了实现数据(即在测量中)与PCE概念的数值合并Hankel矩阵的数值公式。

The fundamental lemma by Jan C. Willems and co-workers, which is deeply rooted in behavioral systems theory, has become one of the supporting pillars of the recent progress on data-driven control and system analysis. This tutorial-style paper combines recent insights into stochastic and descriptor-system formulations of the lemma to further extend and broaden the formal basis for behavioral theory of stochastic linear systems. We show that series expansions -- in particular Polynomial Chaos Expansions (PCE) of $L^2$-random variables, which date back to Norbert Wiener's seminal work -- enable equivalent behavioral characterizations of linear stochastic systems. Specifically, we prove that under mild assumptions the behavior of the dynamics of the $L^2$-random variables is equivalent to the behavior of the dynamics of the series expansion coefficients and that it entails the behavior composed of sampled realization trajectories. We also illustrate the short-comings of the behavior associated to the time-evolution of the statistical moments. The paper culminates in the formulation of the stochastic fundamental lemma for linear (descriptor) systems, which in turn enables numerically tractable formulations of data-driven stochastic optimal control combining Hankel matrices in realization data (i.e. in measurements) with PCE concepts.

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