Convexity and convex approximations of discrete-time stochastic control problems with constraints

Automatica

Volumn 47, Issue 9, 2011, Pages 2082-2087

  Cinquemani, Eugenio ^a   Agarwal, Mayank ^b   Chatterjee, Debasish ^c   Lygeros, John ^c  

^a INRIA Grenoble Rhne Alpes   (France)

^b Stanford University   (United States)

^c ETH ZURICH   (Switzerland)

Author keywords

Convex optimization; Linear matrix inequalities; Optimal control; Probabilistic constraints; Stochastic processes

Indexed keywords

AFFINE FUNCTION; CHANCE CONSTRAINT; CONSTRAINED OPTIMAL CONTROL PROBLEMS; CONSTRAINT FUNCTIONS; CONTROL POLICY; CONVEX APPROXIMATION; CONVEX APPROXIMATION METHODS; DISCRETE TIME; EXPECTED VALUES; FINITE-HORIZON OPTIMIZATION; NUMERICAL EXAMPLE; OPTIMAL CONTROL; PROBABILISTIC CONSTRAINTS; STOCHASTIC CONTROL; STOCHASTIC DYNAMICAL SYSTEM; STOCHASTIC PROCESS;

APPROXIMATION THEORY; CONTROL; CONVEX OPTIMIZATION; DYNAMICAL SYSTEMS; LINEAR MATRIX INEQUALITIES; NUMERICAL METHODS; OPTIMIZATION; RANDOM PROCESSES; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS;

DISCRETE TIME CONTROL SYSTEMS;

EID: 80052021740     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.automatica.2011.01.023     Document Type: Article

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