Linearly Solvable Stochastic Control Lyapunov Functions

@article{Leong2016LinearlySS,
  title={Linearly Solvable Stochastic Control Lyapunov Functions},
  author={Yoke Peng Leong and Matanya B. Horowitz and Joel W. Burdick},
  journal={SIAM J. Control. Optim.},
  year={2016},
  volume={54},
  pages={3106-3125}
}
  • Yoke Peng Leong, Matanya B. Horowitz, Joel W. Burdick
  • Published 2016
  • Mathematics, Computer Science
  • SIAM J. Control. Optim.
  • This paper presents a new method for synthesizing stochastic control Lyapunov functions for a class of nonlinear stochastic control systems. The technique relies on a transformation of the classical nonlinear Hamilton--Jacobi--Bellman partial differential equation to a linear partial differential equation for a class of problems with a particular constraint on the stochastic forcing. This linear partial differential equation can then be relaxed to a linear differential inclusion, allowing for… CONTINUE READING

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