Department of Electrical and Computer Engineering Seminar Series

The stability of systems in stochastic feedback loops


Prof Roy Smith


Automatic Control Laboratory, ETH, Zurich, Switzerland

Time & Place

Thu, 29 Aug 2019 14:00:00 NZST in Link 309 Lecture Theatre


Stochastic feedback systems give rise to a variety of notions of stability: median, mean, and variance stability conditions differ. These conditions can be stated explicitly for scalar discrete-time systems with (almost) arbitrary distributions of the stochastic feedback gain. The state variable in such systems evolves towards a heavy-tailed distribution 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.


Roy Smith is a Professor in the Automatic Control Laboratory at the Swiss Federal Institute of Technology (ETH, Zurich) in Switzerland. From 1990 to 2010 he was on the faculty of the Electrical Engineering Dept. at the University of California, Santa Barbara. He received his undergraduate education at Canterbury University in New Zealand (1980) and a Ph.D. from the California Institute of Technology (1990). Roy Smith's research interests include: the identification and control of uncertain systems, and distributed estimation, communication and control systems. His application experience includes: process control, automotive engines, flexible space structures, aeromanoeuvring Mars entry vehicles, formation flying of spacecraft, magnetically levitated bearings, high energy accelerator control, airborne wind energy and energy control for buildings. He has been a long time consultant to the NASA Jet Propulsion Laboratory on guidance, navigation and control aspects of interplanetary and deep space science spacecraft. He is a Fellow of the IEEE, an Associate Fellow of the AIAA, and a member of SIAM and NZAC.