Probabilistic reachability and control synthesis for stochastic switched systems using the tamed Euler method

Adrien Camille le Coent; Laurent Fribourg; Jonathan Vacher; Rafal Wisniewski

doi:10.1016/j.nahs.2020.100860

Probabilistic reachability and control synthesis for stochastic switched systems using the tamed Euler method

Adrien Camille le Coent, Laurent Fribourg, Jonathan Vacher, Rafal Wisniewski

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Abstract

In this paper, we explain how, under the one-sided Lipschitz (OSL) hypothesis, one can find a mean square error bound for a variant of the Euler–Maruyama approximation method for stochastic switched systems. Subsequently, we explain how this bound can be used to control a stochastic switched system in order to make it reach a target zone with guaranteed minimum probability. The method is illustrated on several examples from the literature.

Originalsprog	Engelsk
Artikelnummer	100860
Tidsskrift	Nonlinear Analysis: Hybrid Systems
Vol/bind	36
ISSN	1751-570X
DOI	https://doi.org/10.1016/j.nahs.2020.100860
Status	Udgivet - maj 2020

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10.1016/j.nahs.2020.100860

https://hal.archives-ouvertes.fr/hal-02987885/document

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author = "Coent, {Adrien Camille le} and Laurent Fribourg and Jonathan Vacher and Rafal Wisniewski",

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AU - Vacher, Jonathan

AU - Wisniewski, Rafal

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AB - In this paper, we explain how, under the one-sided Lipschitz (OSL) hypothesis, one can find a mean square error bound for a variant of the Euler–Maruyama approximation method for stochastic switched systems. Subsequently, we explain how this bound can be used to control a stochastic switched system in order to make it reach a target zone with guaranteed minimum probability. The method is illustrated on several examples from the literature.

U2 - 10.1016/j.nahs.2020.100860

DO - 10.1016/j.nahs.2020.100860

M3 - Journal article

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VL - 36

JO - Nonlinear Analysis: Hybrid Systems

JF - Nonlinear Analysis: Hybrid Systems

M1 - 100860

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Probabilistic reachability and control synthesis for stochastic switched systems using the tamed Euler method

Abstract

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