Stochastic viability and dynamic programming

Details Stochastic viability and dynamic programming Stochastic viability and dynamic programming

2010-02-05

arxiv.org/abs/1002.1140v1

Mathematics

Optimization and Control

Scientific paper

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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