A New Distribution-Free Concept for Representing, Comparing, and Propagating Uncertainty in Dynamical Systems with Kernel Probabilistic Programming

This work presents the concept of kernel mean embedding and kernel probabilistic programming in the context of stochastic systems. We propose formulations to represent, compare, and propagate uncertainties for fairly general stochastic dynamics in a distribution-free manner. The new tools enjoy sound theory rooted in functional analysis and wide applicability as demonstrated in distinct numerical examples. The implication of this new concept is a new mode of thinking about the statistical nature of uncertainty in dynamical systems.1. INTRODUCTION Classic stochastic control methods such as LQG hinge on the mathematical fact that the family of Gaussian distributions is closed under an affine transformation.