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Article Dans Une Revue Systems and Control Letters Année : 2010

Stochastic viability and dynamic programming

Résumé

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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Dates et versions

hal-00453499 , version 1 (04-02-2010)

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Luc Doyen, Michel de Lara. Stochastic viability and dynamic programming. Systems and Control Letters, 2010, 59 (10), pp.629-634. ⟨10.1016/j.sysconle.2010.07.008⟩. ⟨hal-00453499⟩
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