Invariance in Stochastic Dynamical Control Systems
نویسندگان
چکیده
Aim of this paper is to set invariance in stochastic dynamical control systems. Given a set within which the state of the dynamical system should evolve, we study conditions for finding a control strategy that maximizes the probability for the state to be in the given set within a fixed a–priori finite time horizon. We formulate an optimal control problem and we solve the problem at hand by using a dynamic programming approach. Some results towards a generalization of these results to the case of infinite–time horizon are also derived. Keywords—Stochastic dynamical control system, Stochastic Invariance Problem, Dynamic Programming, Optimal Control.
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