Stochastic viability and dynamic programming
Optimization and Control
2010-02-08 v1
Abstract
This paper deals with the stochastic control of nonlinear systems in the presence of state and control constraints, for uncertain discrete-time dynamics in finite dimensional spaces. In the deterministic case, the viability kernel is known to play a basic role for the analysis of such problems and the design of viable control feedbacks. In the present paper, we show how a stochastic viability kernel and viable feedbacks relying on probability (or chance) constraints can be defined and computed by a dynamic programming equation. An example illustrates most of the assertions.
Cite
@article{arxiv.1002.1140,
title = {Stochastic viability and dynamic programming},
author = {Luc Doyen and Delara Michel},
journal= {arXiv preprint arXiv:1002.1140},
year = {2010}
}