Name
Title | ||
|---|---|---|
Adjoint-based optimal control of the expected exit time for stochastic hybrid systems |
Abstract | ||
|---|---|---|
In this paper, we study the problem of controlling the expected exit time from a region for a class of stochastic hybrid systems. That is, we find the least costly feedback control for a stochastic hybrid system that can keep its state inside a prescribed region for at least an expected amount of time. The stochastic hybrid systems considered are quite general: the continuous dynamics are governed by stochastic differential equations, and the discrete mode evolves according to a continuous time Markov chain. Instead of adopting the usual Hamilton-Jacobi viewpoint, we study the problem directly by formulating it as a PDE constrained optimization problem, and propose a solution using adjoint-based gradient descent methods. Numerical results of the proposed approach are presented for several representative examples, and, for the simple case, compared with analytical results. |
Year | DOI | Venue |
|---|---|---|
2005 | 10.1007/978-3-540-31954-2_36 | HSCC |
Keywords | Field | DocType |
adjoint-based gradient descent method,prescribed region,expected exit time,expected amount,adjoint-based optimal control,optimization problem,continuous dynamic,stochastic hybrid system,stochastic differential equation,analytical result,continuous time markov chain,optimal control,feedback control,gradient descent method | Gradient descent,Stochastic optimization,Mathematical optimization,Optimal control,Continuous-time Markov chain,Continuous-time stochastic process,Stochastic differential equation,Hybrid system,Mathematics,Stochastic control | Conference |
Volume | ISSN | ISBN |
3414 | 0302-9743 | 3-540-25108-1 |
Citations | PageRank | References |
8 | 0.69 | 4 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Robin L. Raffard | 1 | 63 | 6.64 |
| Jianghai Hu | 2 | 520 | 64.76 |
| Claire J. Tomlin | 3 | 1491 | 158.05 |