Fast, Convexified Stochastic Optimal Open-Loop Control for Linear Systems Using Empirical Characteristic Functions
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DOI: 10.1109/lcsys.2020.2998857
Abstract: We consider the problem of stochastic optimal control in the presence of an unknown disturbance. We characterize the disturbance via empirical characteristic functions, and employ a chance constrained approach. By exploiting properties of characteristic functions… read more here.
Keywords: stochastic optimal; control; characteristic functions; empirical characteristic ... See more keywords