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2010.49: Dealing with stochastic reachability

2010.49: M.L. Bujorianu (2009) Dealing with stochastic reachability. In: Proceedings of the 48th IEEE Conference on Decision and Control, CDC 2009. IEEE Control Systems Society, Shanghai, China, pp. 2935-2940.

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For stochastic hybrid systems, stochastic reachability is very little supported mainly because of complexity and difficulty of the associated mathematical problems. In this paper, we develop two main directions of studying stochastic reachability as an optimal stopping problem. The first approach studies the hypotheses for the dynamic programming corresponding with the optimal stopping problem for stochastic hybrid systems. In the second approach, we investigate the reachability problem considering approximations of stochastic hybrid systems. The main difficulty arises when we have to prove the convergence of the value functions of the approximating processes to the value function of the initial process. An original proof is provided.

Item Type:Book Section
Uncontrolled Keywords:stochastic hybrid systems, stochastic reachability, markov models, Cicada
Subjects:MSC 2000 > 49 Calculus of variations and optimal control; optimization
MSC 2000 > 60 Probability theory and stochastic processes
MSC 2000 > 93 Systems theory; control
MIMS number:2010.49
Deposited By:Dr. Manuela Luminita BUJORIANU
Deposited On:13 June 2010

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