Convexity and convex approximations of discrete-time stochastic control problems with constraints

DOI10.1016/J.AUTOMATICA.2011.01.023zbMath1229.93164arXiv0905.3447OpenAlexW2019318812MaRDI QIDQ644284

Debasish Chatterjee, Mayank Agarwal, Eugenio Cinquemani, John Lygeros

Publication date: 3 November 2011

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.3447

zbMATH Keywords

optimal controlconvex optimizationlinear matrix inequalitiesstochastic processesprobabilistic constraints

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Related Items (14)

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Uses Software

• CVX

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