Stochastic viability and dynamic programming

DOI10.1016/J.SYSCONLE.2010.07.008MaRDI QIDQ609526zbMATH OpenOpenAlexFDO

Authors Luc Doyen, Michel De Lara

Publication date 1 December 2010

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1002.1140

zbMATH Keywords

dynamic programmingstate constraintsstochastic controldiscrete timeviability

Mathematics Subject Classification ID

Dynamic programming (90C39) Dynamic programming in optimal control and differential games (49L20) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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.

Recommendations

• Stochastic control and compatible subsets of constraints
• Monotonicity properties for the viable control of discrete-time systems
• Existence of stochastic control under state constraints
• A Survey of Viability Theory
• Non-compact-valued stochastic control under state constraints

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Cited in

(13)

• Stochastic control and compatible subsets of constraints
• Construction of a viability kernel for nonlinear controlled system in the presence of a specific set
• Monotonicity properties for the viable control of discrete-time systems
• Statistical learning for probability-constrained stochastic optimal control
• Solving viability problems in dynamic games using individual strategies derived from guaranteed viability kernels: application to an agricultural cooperative model
• A stylized model of stochastic ecosystems with alternative stable states
• Non-compact-valued stochastic control under state constraints
• Ecological-economic modelling for the sustainable management of biodiversity
• Viability with probabilistic knowledge of initial condition, application to optimal control
• Optimal retention of the trajectories of a discrete-time stochastic system in a tube: one problem statement
• The viability kernel of dynamical systems with mixed constraints: a level-set approach
• Satisficing versus optimality: criteria for sustainability
• scientific article; zbMATH DE number 4122712 (Why is no real title available?)

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