Note: This content is accessible to all versions of every browser. However, this browser does not seem to support current Web standards, preventing the display of our site's design details.


Convex Stochastic Optimization Problems with Chance Constraints


M. Agarwal

IfA Internal Seminar Series

We discuss, constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of a expected quadratic cost over a finite horizon. Hard constraints are reformulated in terms of probabilistic constraints, and we demonstrate that the resulting problem with affine disturbance feedback is a standard convex optimization problem.


Type of Publication:


File Download:

Request a copy of this publication.
(Uses JavaScript)
% No recipe for automatically generating a BibTex entry for (06)Talk
Permanent link