Reachability Analysis under Control-dependent
| Authors: | Digailova Irina, Moscow State University, Russian Federation
Kurzhanski Alexander, Moscow State University, Russian Federation |
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| Topic: | 1.1 Modelling, Identification & Signal Processing |
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| Session: | Set-Membership Techniques for Identification |
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| Keywords: | dynamic programming, system model, state estimation, set-membership approach, stochastic disturbance, principle of optimality |
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Abstract
The present paper deals special type of stochastic disturbances, when a linear system is subjected to perturbations generated by Brownian noise. The latter is assumed to depend on the values of the control, which in its turn may be either unbounded or bounded by hard bounds. The"reach" sets introduced here are deterministic.They consist of all points whose mean-square deviation from some controlled trajectory is small. These are presented in terms of level sets to solutions of appropriate Hamilton-Jacobi-Bellman (HJB) equations. The reach sets are either ellipsoids or Euclidean neighborhoods of the reach sets to the respective averaged system.
