Zubov's Method for Stochastic Control Systems
| Authors: | Gruene Lars, University of Bayreuth, Germany
Camilli Fabio, Universita de l'Aquila, Italy
Wirth Fabian, University of Bremen, Germany |
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| Topic: | 2.1 Control Design |
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| Session: | Control and Estimation Under Set-Membership Uncertainty I |
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| Keywords: | Zubov's method, stochastic control system, controllability probability, viscosity solution, computational approach |
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Abstract
We consider a controlled stochastic system with an almost surely locally exponentially controllable compact set. Our aim is to characterize the set of points which can be driven by a suitable control to this set with some prescribed probability. We show that a generalization of Zubov's method leads to this characterization and can be used as basis for numerical computations.
