Delara Michel

  1. Stochastic viability and dynamic programming.

    Authors: Luc Doyen, Delara Michel
    Subjects: Optimization and Control
    Abstract

    This paper deals with the stochastic control of nonlinear systems in the
    presence of state and control constraints, for uncertain discrete-time dynamics
    in finite dimensional spaces. In the deterministic case, the viability kernel
    is known to play a basic role for the analysis of such problems and the design
    of viable control feedbacks. In the present paper, we show how a stochastic
    viability kernel and viable feedbacks relying on probability (or chance)
    constraints can be defined and computed by a dynamic programming equation. An
    example illustrates most of the assertions.

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