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Chance-constrained LQG with bounded contr ol policies

Author(s):

P. Hokayem, D. Chatterjee, J. Lygeros
Conference/Journal:

IEEE Conference on Decision and Control, Florence, Italy, pp. 2471-2476
Abstract:

We study the finite-horizon LQG problem in which the states are required to satisfy probabilistic constraints, and the control inputs are required to satisfy hard bounds. We demonstrate that a general class of feedback policies satisfying the above constraints can be algorithmically selected via the solution to a convex optimization problem. An estimate of the region of initial conditions for which the chance constraints are feasible is also provided. Our approach relies on concentration of measure inequalities for the standard Gaussian measure

Year:

2013
Type of Publication:

(01)Article
Supervisor:



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% Autogenerated BibTeX entry
@InProceedings { HokCha:2013:IFA_4651,
    author={P. Hokayem and D. Chatterjee and J. Lygeros},
    title={{Chance-constrained LQG with bounded contr ol policies}},
    booktitle={IEEE Conference on Decision and Control},
    pages={2471--2476},
    year={2013},
    address={Florence, Italy},
    month=dec,
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=4651}
}
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