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| HAL : hal-00453499, version 1 |
| arXiv : 1002.1140 |
| DOI : 10.1016/j.sysconle.2010.07.008 |
| Fiche détaillée |  Récupérer au format |
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| Systems and Control Letters 59, 10 (2010) 629-634 |
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| Stochastic viability and dynamic programming |
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| Luc Doyen 1Michel De Lara 2 |
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| (10/2010) |
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| 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. |
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| 1 : | Conservation des espèces, restauration et suivi des populations (CERSP) |
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CNRS : UMR5173 – Université Pierre et Marie Curie (UPMC) - Paris VI |
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| 2 : | Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS) |
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Ecole des Ponts ParisTech |
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| Domaine | : | Mathématiques/Optimisation et contrôle |
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| stochastic control – state constraints – viability – discrete time – dynamic programming. |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00453499, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00453499 | |
| oai:hal.archives-ouvertes.fr:hal-00453499 | |
| Contributeur : Luc Doyen | |
| Soumis le : Jeudi 4 Février 2010, 21:51:46 | |
| Dernière modification le : Mercredi 2 Novembre 2011, 16:51:55 | |
