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HYBRID
2005
Springer

Adjoint-Based Optimal Control of the Expected Exit Time for Stochastic Hybrid Systems

9 years 2 months ago
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 adjointbased gradient descent methods. Numerical results of the proposed approach are presented for several representative examples, and, for the simple case, compared with analytical results.
Robin L. Raffard, Jianghai Hu, Claire Tomlin
Added 27 Jun 2010
Updated 27 Jun 2010
Type Conference
Year 2005
Where HYBRID
Authors Robin L. Raffard, Jianghai Hu, Claire Tomlin
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