Pola, Giordano (Univ. of L'Aquila), Lygeros, John (Univ. of Patras), Di Benedetto, Maria Domenica (Univ. of L'Aquila)

Invariance in Stochastic Dynamical Control Systems

Scheduled for presentation during the Regular Session "Stochastic systems" (FrP08), Friday, July 28, 2006, 15:20−15:45, Room I

17th International Symposium on Mathematical Theory of Networks and Systems, July 24-28, 2006, Kyoto, Japan

This information is tentative and subject to change. Compiled on April 23, 2024

Abstract

Aim of this paper is to set invariance in stochastic dynamical control systems. Given a set within which the state of the dynamical system should evolve, we study conditions for finding a control strategy that maximizes the probability for the state to be in the given set within a fixed a-priori finite time horizon. We formulate an optimal control problem and we solve the problem at hand by using a dynamic programming approach. Some results towards a generalization of these results to the case of infinite-time horizon are also derived.