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On Stochastic Control up to a Hitting Time

Author(s):

D. Chatterjee, E. Cinquemani, G. Chaloulos, J. Lygeros
Conference/Journal:

IEEE Conference on Decision and Control, pp. 531-536
Abstract:

We propose a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact target set while simultaneously minimizing an expected discounted cost. We then provide a rolling-horizon strategy for approximating the optimal policy, together with quantitative characterization of its sub-optimality with respect to the optimal policy.

Year:

2009
Type of Publication:

(01)Article
Supervisor:

J. Lygeros

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% Autogenerated BibTeX entry
@InProceedings { ChaEtal:2009:IFA_3350,
    author={D. Chatterjee and E. Cinquemani and G. Chaloulos and J. Lygeros},
    title={{On Stochastic Control up to a Hitting Time}},
    booktitle={IEEE Conference on Decision and Control},
    pages={531--536},
    year={2009},
    address={},
    month=dec,
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=3350}
}
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