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On the finite-horizon stochastic LQ problem with bounded control and chance-constraints


D. Chatterjee

IfA Internal Seminar Series

In our recent work with Peter Hokayem and John Lygeros we have synthesized control policies that yield globally feasible, tractable, and convex problems corresponding to the standard finite-horizon LQ cost. Incorporating variance bounds on states and controls are relatively easy in this setting, and the natural next step is to include probabilistic constraints. In this talk we shall look at some of the challenges that lie ahead, glance over a curious (and perhaps counter-intuitive) property of the Gaussian measure, and discuss a few partial results. This is joint work with Peter Hokayem, Georgios Chaloulos, and John Lygeros.


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J. Lygeros

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