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Multi-objective optimal control of stochastic hybrid systems

Author(s):

S. Summers, J. Lygeros
Conference/Journal:

Conference on Decision and Control (CDC), Hawaii, USA
Abstract:

We present a dynamic programming based solution to a stochastic optimal control problem for a controlled discrete-time stochastic hybrid system. A general summultiplicative cost function is introduced along with a corresponding dynamic recursion that quantifies the weighted costs of achieving multiple (possibly competing) objectives relevant to the theory of stochastic verification and stochastic model predictive control. It is shown that a valuable collection of multiobjective stochastic optimal control problems can be expressed in the form of the presented general sum-multiplicative cost function. A case study in the early retirement problem (equivalently the reinsurance problem) is presented.

Year:

2012
Type of Publication:

(01)Article
Supervisor:



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% Autogenerated BibTeX entry
@InProceedings { SumLyg:2012:IFA_4268,
    author={S. Summers and J. Lygeros},
    title={{Multi-objective optimal control of stochastic hybrid
	  systems}},
    booktitle={Conference on Decision and Control (CDC)},
    pages={},
    year={2012},
    address={Hawaii, USA},
    month=dec,
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=4268}
}
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