Optimal Covariance Control for Stochastic Systems Under Chance Constraints
نویسندگان
چکیده
منابع مشابه
Optimal Control with Fuzzy Chance Constraints
In this paper, a model of an optimal control problem with chance constraints is introduced. The parametersof the constraints are fuzzy, random or fuzzy random variables. Todefuzzify the constraints, we consider possibility levels. Bychance-constrained programming the chance constraints are converted to crisp constraints which are neither fuzzy nor stochastic and then the resulting classical op...
متن کاملoptimal control with fuzzy chance constraints
in this paper, a model of an optimal control problem with chance constraints is introduced. the parametersof the constraints are fuzzy, random or fuzzy random variables. todefuzzify the constraints, we consider possibility levels. bychance-constrained programming the chance constraints are converted to crisp constraints which are neither fuzzy nor stochastic and then the resulting classical op...
متن کاملOptimal Control under Stochastic Target Constraints
We study a class of Markovian optimal stochastic control problems in which the controlled process Z is constrained to satisfy an a.s. constraint Z(T ) ∈ G ⊂ R P − a.s. at some final time T > 0. When the set is of the form G := {(x, y) ∈ R × R : g(x, y) ≥ 0}, with g non-decreasing in y, we provide a Hamilton-Jacobi-Bellman characterization of the associated value function. It gives rise to a sta...
متن کاملOptimal Covariance Control for Discrete-Time Stochastic Linear Systems Subject to Constraints
This work deals with an optimal covariance control problem for stochastic discrete-time linear systems subject to mean sum constraints involving quadratic functions of the state and the control input sequences under the assumption of full state information. We show that the stochastic optimal control problem is equivalent to a deterministic nonlinear program, which, under a judicious choice of ...
متن کاملMethods for Stochastic Optimal Control under State Constraints
This thesis looks at a few different approaches to solving stochastic optimal control problems with state constraints. The motivating problem is optimal control of an energy buffer in a hybrid vehicle, although applications are abundant in a number of areas. Stochastic optimal control problems can be solved via the socalled Hamilton-Jacobi-Bellman (HJB) equation. State constraints result in bou...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IEEE Control Systems Letters
سال: 2018
ISSN: 2475-1456
DOI: 10.1109/lcsys.2018.2826038