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Convex Stochastic Optimization Problems with Chance Constraints

Author(s):

M. Agarwal
Conference/Journal:

IfA Internal Seminar Series
Abstract:

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.

Year:

2008
Type of Publication:

(06)Talk
Supervisor:



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