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  Finite-Horizon Optimal State-Feedback Control of Nonlinear Stochastic Systems Based on a Minimum Principle

Deisenroth, M., Ohtsuka, T., Weissel, F., Brunn, D., & Hanebeck, U. (2006). Finite-Horizon Optimal State-Feedback Control of Nonlinear Stochastic Systems Based on a Minimum Principle. In U. Hanebeck (Ed.), 2006 IEEE International Conference on Multisensor Fusion and Integration for Intelligent Systems (pp. 371-376). Piscataway, NJ, USA: IEEE Service Center.

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Deisenroth, MP1, Author              
Ohtsuka, T, Author
Weissel, F, Author
Brunn, D, Author
Hanebeck, UD, Author
Affiliations:
1External Organizations, ou_persistent22              

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 Abstract: In this paper, an approach to the finite-horizon optimal state-feedback control problem of nonlinear, stochastic, discrete-time systems is presented. Starting from the dynamic programming equation, the value function will be approximated by means of Taylor series expansion up to second-order derivatives. Moreover, the problem will be reformulated, such that a minimum principle can be applied to the stochastic problem. Employing this minimum principle, the optimal control problem can be rewritten as a two-point boundary-value problem to be solved at each time step of a shrinking horizon. To avoid numerical problems, the two-point boundary-value problem will be solved by means of a continuation method. Thus, the curse of dimensionality of dynamic programming is avoided, and good candidates for the optimal state-feedback controls are obtained. The proposed approach will be evaluated by means of a scalar example system.

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 Dates: 2006-09
 Publication Status: Published in print
 Pages: -
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 Rev. Type: -
 Identifiers: DOI: 10.1109/MFI.2006.265616
BibTex Citekey: 4185
 Degree: -

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Title: 6th IEEE International Conference on Multisensor Fusion and Integration (MFI 2006)
Place of Event: Heidelberg, Germany
Start-/End Date: 2006-09-03 - 2006-09-06

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Title: 2006 IEEE International Conference on Multisensor Fusion and Integration for Intelligent Systems
Source Genre: Proceedings
 Creator(s):
Hanebeck, UD, Editor
Affiliations:
-
Publ. Info: Piscataway, NJ, USA : IEEE Service Center
Pages: - Volume / Issue: - Sequence Number: - Start / End Page: 371 - 376 Identifier: ISBN: 1-4244-0567-X