2012 IEEE 51st IEEE Conference on Decision and Control (CDC) 2012
DOI: 10.1109/cdc.2012.6426350
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Multi-objective optimal control of stochastic hybrid systems

Abstract: We present a dynamic programming based solution to a stochastic optimal control problem for a controlled discrete-time stochastic hybrid system. A general summultiplicative cost function is introduced along with a corresponding dynamic recursion that quantifies the weighted costs of achieving multiple (possibly competing) objectives relevant to the theory of stochastic verification and stochastic model predictive control. It is shown that a valuable collection of multiobjective stochastic optimal control probl… Show more

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