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Convex Stochastic Optimization Problems with Chance Constraints

Author(s):

M. Agarwal
Conference/Journal:

IfA Internal Seminar Series
Abstract:

We discuss finite-horizon optimal control problems for linear stochastic dynamical systems evolving in discrete time. Minimization of an expected quadratic cost with probabilistic constraints on the state is considered. We propose convex heuristics for the resulting problem with affine disturbance feedback policy.

Year:

2008
Type of Publication:

(06)Talk
Supervisor:

S. Lall

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