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.

  

On a problem of stochastic reach-avoid set characterization

Author(s):

P. Mohajerin Esfahani, D. Chatterjee, J. Lygeros
Conference/Journal:

Conference on Decision and Control (CDC)
Abstract:

We develop a novel framework for formulating a class of stochastic reachability problems with state constraints as a stochastic optimal control problem. Previous approaches to solving these problems are either confined to the deterministic setting or address almost-sure stochastic notions. In contrast, we propose a new methodology to tackle probabilistic specifications that are less specific than almost sure requirements. To this end, we first establish a connection between two stochastic reach-avoid problems and a class of stochastic optimal control problems for diffusions with discontinuous payoff functions. We then derive a weak version of dynamic programming principle (DPP) for the value function. Moreover, based on our DPP, we give an alternate characterization of the value function as the solution to a partial differential equation in the sense of discontinuous viscosity solutions. Finally we validate the performance of the proposed framework on the stochastic Zermelo navigation problem.

Year:

2011
Type of Publication:

(01)Article
Supervisor:



File Download:

Request a copy of this publication.
(Uses JavaScript)
% Autogenerated BibTeX entry
@InProceedings { EsfCha:2011:IFA_3885,
    author={P. Mohajerin Esfahani and D. Chatterjee and J. Lygeros},
    title={{On a problem of stochastic reach-avoid set characterization}},
    booktitle={Conference on Decision and Control (CDC)},
    pages={},
    year={2011},
    address={},
    month=dec,
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=3885}
}
Permanent link