Convexity and convex approximations of discrete-time stochastic control problems with constraints
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Publication:644284
DOI10.1016/J.AUTOMATICA.2011.01.023zbMATH Open1229.93164arXiv0905.3447OpenAlexW2019318812MaRDI QIDQ644284FDOQ644284
Authors: Eugenio Cinquemani, Mayank Agarwal, Debasish Chatterjee, John Lygeros 
Publication date: 3 November 2011
Published in: Automatica (Search for Journal in Brave)
Abstract: We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then reformulated in terms of probabilistic constraints. It is shown that, for a suitable parametrization of the control policy, a wide class of the resulting optimization problems are convex, or admit reasonable convex approximations.
Full work available at URL: https://arxiv.org/abs/0905.3447
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Cited In (19)
- Duality and approximation of stochastic optimal control problems under expectation constraints
- Stochastic receding horizon control with output feedback and bounded controls
- Optimal control applications and methods literature survey (No. 27)
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- Barrier Lyapunov functions for the output tracking control of constrained nonlinear switched systems
- Sparse and constrained stochastic predictive control for networked systems
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