2019
DOI: 10.48550/arxiv.1909.10093
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Iterated Piecewise-Stationary Random Functions

Ramen Ghosh,
Jakub Marecek,
Robert Shorten

Abstract: Within the study of uncertain dynamical systems, iterated random functions are a key tool. There, one samples a family of functions according to a stationary distribution. Here, we introduce an extension, where one sample functions according to a time-varying distribution over the family of functions. For such iterated piecewise-stationary random functions on Polish spaces, we prove a number of results, including a bound on the tracking error.

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“…When we cannot rely on the probabilities and the transformations in the iterated function system being invariant over time, or perfectly known to us, there are still at least two options. Either we can consider the notion of piece-wise stationary measures [36] for a time-varying iterated function system [36], or we can consider perturbation analysis, also known as sensitivity analysis. There, it is of interest to know whether a perturbation in the states causes a large difference in the behavior of the corresponding stochastic process.…”
Section: Problem Statementmentioning
confidence: 99%
“…When we cannot rely on the probabilities and the transformations in the iterated function system being invariant over time, or perfectly known to us, there are still at least two options. Either we can consider the notion of piece-wise stationary measures [36] for a time-varying iterated function system [36], or we can consider perturbation analysis, also known as sensitivity analysis. There, it is of interest to know whether a perturbation in the states causes a large difference in the behavior of the corresponding stochastic process.…”
Section: Problem Statementmentioning
confidence: 99%