2024/03/06 by Stein, Dario, Samuelson, Richard
#Category Theory (math.CT) #FOS: Computer and information sciences #FOS: Mathematics #Logic in Computer Science (cs.LO) #Probability (math.PR)
paper · doi:10.48550/arxiv.2403.03934
An open stochastic system à la Jan Willems is a system affected by two qualitatively different kinds of uncertainty: one is probabilistic fluctuation, and the other one is nondeterminism caused by a fundamental lack of information. We present a formalization of open stochastic systems in the language of category theory. Central to this is the notion of copartiality which models how the lack of information propagates through a system (corresponding to the coarseness of sigma-algebras in Willems' work). As a concrete example, we study extended Gaussian distributions, which combine Gaussian probability with nondeterminism and correspond precisely to Willems' notion of Gaussian linear systems. We describe them both as measure-theoretic and abstract categorical entities, which enables us to rigorously describe a variety of phenomena like noisy physical laws and uninformative priors in Bayesian statistics. The category of extended Gaussian maps can be seen as a mutual generalization of Gaussian probability and linear relations, which connects the literature on categorical probability with ideas from control theory like signal-flow diagrams.