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arXiv 1202.4375math.OCcs.SYeess.SY
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扩散过程随机到达-规避问题与集合刻画

The Stochastic Reach-Avoid Problem and Set Characterization for Diffusions

Automatic Control Laboratory, ETH Zürich(苏黎世联邦理工学院自动控制实验室);Systems & Control Engineering, IIT-Bombay(印度理工学院孟买分校系统与控制工程系)

Peyman Mohajerin Esfahani, Debasish Chatterjee, John Lygeros

AI总结:

从最优控制角度研究具有状态约束的随机可达性问题,通过连接两类随机到达-规避问题与三类不连续支付函数的最优控制问题,推导弱动态规划原理,并给出值函数作为不连续粘性解偏微分方程的特征刻画。

摘要:

本文从最优控制角度研究一类具有状态约束的随机可达性问题。先前解决这些可达性问题的方法要么局限于确定性设定,要么处理几乎必然的随机要求。相比之下,我们提出了一种方法来解决要求比几乎必然更宽松的问题。为此,我们首先建立了两个不同的随机到达-规避问题与三类涉及不连续支付函数的随机最优控制问题之间的联系。随后,我们聚焦于其中一类随机最优控制问题的解——退出时间问题,该问题同时解决了上述两个到达-规避问题。然后,我们推导了相应值函数的弱动态规划原理(DPP);在此方向上,与现有文献相比,我们的贡献在于发展了允许不连续支付函数的技术。此外,基于我们的DPP,我们提供了值函数的另一种刻画,即作为不连续粘性解意义下的偏微分方程的解,并给出了Dirichlet和粘性意义下的边界条件。还讨论了理论依据,为使用现成的PDE求解器进行数值计算铺平了道路。最后,我们在随机Zermelo导航问题上验证了所提框架的性能。

英文摘要:

In this article we approach a class of stochastic reachability problems with state constraints from an optimal control perspective. Preceding approaches to solving these reachability problems are either confined to the deterministic setting or address almost-sure stochastic requirements. In contrast, we propose a methodology to tackle problems with less stringent requirements than almost sure. To this end, we first establish a connection between two distinct stochastic reach-avoid problems and three classes of stochastic optimal control problems involving discontinuous payoff functions. Subsequently, we focus on solutions of one of the classes of stochastic optimal control problems---the exit-time problem, which solves both the two reach-avoid problems mentioned above. We then derive a weak version of a dynamic programming principle (DPP) for the corresponding value function; in this direction our contribution compared to the existing literature is to develop techniques that admit discontinuous payoff functions. Moreover, based on our DPP, we provide an alternative characterization of the value function as a solution of a partial differential equation in the sense of discontinuous viscosity solutions, along with boundary conditions both in Dirichlet and viscosity senses. Theoretical justifications are also discussed to pave the way for deployment of off-the-shelf PDE solvers for numerical computations. Finally, we validate the performance of the proposed framework on the stochastic Zermelo navigation problem.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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