Temporal Robustness in Discrete Time Linear Dynamical Systems

• URL: http://arxiv.org/abs/2505.02347v2
• Date: Wed, 21 May 2025 20:54:47 GMT
• Title: Temporal Robustness in Discrete Time Linear Dynamical Systems
• Abstract summary: In some problems, there is uncertainty about the time horizon for which the system runs.<n>This creates uncertainty about the cost (or reward) incurred based on the state distribution when the system stops.<n>We show an equivalence between a discrete time Markov Chain on a probability simplex and a global stable (GAS) discrete time linear dynamical system.
• Score: 13.291758569446348
• License: http://creativecommons.org/licenses/by-nc-sa/4.0/
• Abstract: Discrete time linear dynamical systems, including Markov chains, have found many applications. However, in some problems, there is uncertainty about the time horizon for which the system runs. This creates uncertainty about the cost (or reward) incurred based on the state distribution when the system stops. Given past data samples of how long a system ran, we propose to theoretically analyze a distributional robust cost estimation task in a Wasserstein ambiguity set, instead of learning a probability distribution from a few samples. Towards this, we show an equivalence between a discrete time Markov Chain on a probability simplex and a global asymptotic stable (GAS) discrete time linear dynamical system, allowing us to base our study on a GAS system only. Then, we provide various polynomial time algorithms and hardness results for different cases in our theoretical study, including a fundamental result about Wasserstein distance based polytope.

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