Grid-Free Computation of Probabilistic Safety With Malliavin Calculus
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Publication:6184469
DOI10.1109/TAC.2023.3239460arXiv2104.14691OpenAlexW3159233115MaRDI QIDQ6184469FDOQ6184469
Authors: Harald Oberhauser, Alessandro Abate 
Publication date: 25 January 2024
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Abstract: This work concerns continuous-time, continuous-space stochastic dynamical systems described by stochastic differential equations (SDE). It presents a new approach to compute probabilistic safety regions, namely sets of initial conditions of the SDE associated to trajectories that are safe with a probability larger than a given threshold. The approach introduces a functional that is minimised at the border of the probabilistic safety region, then solves an optimisation problem using techniques from Malliavin Calculus, which computes such region. Unlike existing results in the literature, the new approach allows one to compute probabilistic safety regions without gridding the state space of the SDE.
Full work available at URL: https://arxiv.org/abs/2104.14691
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