Stochastic Stability Analysis of Discrete Time System Using Lyapunov Measure

In this paper, we study the stability problem of a stochastic, nonlinear, discrete-time system. We introduce a linear transfer operator-based Lyapunov measure as a new tool for stability verification of stochastic systems. Weaker set-theoretic notion of almost everywhere stochastic stability is introduced and verified, using Lyapunov measure-based stochastic stability theorems. Furthermore, connection between Lyapunov functions, a popular tool for stochastic stability verification, and Lyapunov measures is established. Using the duality property between the linear transfer Perron-Frobenius and Koopman operators, we show the Lyapunov measure and Lyapunov function used for the verification of stochastic stability are dual to each other. Set-oriented numerical methods are proposed for the finite dimensional approximation of the Perron-Frobenius operator; hence, Lyapunov measure is proposed. Stability results in finite dimensional approximation space are also presented. Finite dimensional approximation is shown to introduce further weaker notion of stability referred to as coarse stochastic stability. The results in this paper extend our earlier work on the use of Lyapunov measures for almost everywhere stability verification of deterministic dynamical systems ("Lyapunov Measure for Almost Everywhere Stability", {\it IEEE Trans. on Automatic Control}, Vol. 53, No. 1, Feb. 2008).Comment: Proceedings of American Control Conference, Chicago IL, 201

Optimal Stabilization using Lyapunov Measures

Numerical solutions for the optimal feedback stabilization of discrete time dynamical systems is the focus of this paper. Set-theoretic notion of almost everywhere stability introduced by the Lyapunov measure, weaker than conventional Lyapunov function-based stabilization methods, is used for optimal stabilization. The linear Perron-Frobenius transfer operator is used to pose the optimal stabilization problem as an infinite dimensional linear program. Set-oriented numerical methods are used to obtain the finite dimensional approximation of the linear program. We provide conditions for the existence of stabilizing feedback controls and show the optimal stabilizing feedback control can be obtained as a solution of a finite dimensional linear program. The approach is demonstrated on stabilization of period two orbit in a controlled standard map