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

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Title: Finite-Horizon Optimal State Feedback Control of Nonlinear Stochastic Systems Based on a Minimum Principle
Author(s): Deisenroth, MP
Ohtsuka, T
Weissel, F
Brunn, D
Hanebeck, UD
Item Type: Conference Paper
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. © 2006 IEEE.
Publication Date: 1-Dec-2006
ISBN: 1-4244-0566-1
Start Page: 371
End Page: 376
Journal / Book Title: Proceedings of the 6th IEEE International Conference on Multisensor Fusion and Integration for Intelligent Systems (MFI 2006)
Copyright Statement: © 2006 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
Conference Name: MFI 2006
Place of Publication: Heidelberg, Germany
Publisher URL:
Start Date: 2006-09-03
Finish Date: 2006-09-06
Conference Place: Heidelberg, Germany
Appears in Collections:Computing

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