arXivDaily arXiv每日学术速递 周一至周五更新
arXiv周末暂无论文更新,休息一下吧,周末愉快~~
arXiv 2104.01503eess.SYcs.FLcs.LGcs.SYmath.LO
收藏

离散随机过程的STL鲁棒风险

STL Robustness Risk over Discrete-Time Stochastic Processes

University of Pennsylvania(宾夕法尼亚大学)

Lars Lindemann, Nikolai Matni, George J. Pappas

摘要:

我们提出了一个框架来解释信号时序逻辑(STL)公式在离散时间随机过程的诱导风险。随机过程的每个实现要么满足要么违反STL公式。事实上,我们可以为每个实现分配一个鲁棒性值,以指示该实现满足STL公式的鲁棒性。然后,我们定义了一个随机过程不满足STL公式鲁棒的风险,称为STL鲁棒性风险。在我们的定义中,我们允许一般类别的风险度量,例如但不限于条件风险价值。虽然在一般情况下很难计算,我们提出了一个近似的STL鲁棒性风险。这种近似具有理想的性质是STL鲁棒性风险的上限时,所选择的风险度量是单调的,大多数风险措施所满足的属性。出于对数据驱动方法的兴趣,我们提出了一种基于抽样的方法,用于从风险值的数据中估计近似STL鲁棒性风险。当我们考虑风险价值时,我们强调这种基于抽样的方法对于其他风险度量是可行的。

英文摘要:

We present a framework to interpret signal temporal logic (STL) formulas over discrete-time stochastic processes in terms of the induced risk. Each realization of a stochastic process either satisfies or violates an STL formula. In fact, we can assign a robustness value to each realization that indicates how robustly this realization satisfies an STL formula. We then define the risk of a stochastic process not satisfying an STL formula robustly, referred to as the STL robustness risk. In our definition, we permit general classes of risk measures such as, but not limited to, the conditional value-at-risk. While in general hard to compute, we propose an approximation of the STL robustness risk. This approximation has the desirable property of being an upper bound of the STL robustness risk when the chosen risk measure is monotone, a property satisfied by most risk measures. Motivated by the interest in data-driven approaches, we present a sampling-based method for estimating the approximate STL robustness risk from data for the value-at-risk. While we consider the value-at-risk, we highlight that such sampling-based methods are viable for other risk measures.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑