7 research outputs found
Forward Stochastic Reachability Analysis for Uncontrolled Linear Systems using Fourier Transforms
We propose a scalable method for forward stochastic reachability analysis for
uncontrolled linear systems with affine disturbance. Our method uses Fourier
transforms to efficiently compute the forward stochastic reach probability
measure (density) and the forward stochastic reach set. This method is
applicable to systems with bounded or unbounded disturbance sets. We also
examine the convexity properties of the forward stochastic reach set and its
probability density. Motivated by the problem of a robot attempting to capture
a stochastically moving, non-adversarial target, we demonstrate our method on
two simple examples. Where traditional approaches provide approximations, our
method provides exact analytical expressions for the densities and probability
of capture.Comment: V3: HSCC 2017 (camera-ready copy), DOI updated, minor changes | V2:
Review comments included | V1: 10 pages, 12 figure
From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming
We consider linear programming (LP) problems in infinite dimensional spaces
that are in general computationally intractable. Under suitable assumptions, we
develop an approximation bridge from the infinite-dimensional LP to tractable
finite convex programs in which the performance of the approximation is
quantified explicitly. To this end, we adopt the recent developments in two
areas of randomized optimization and first order methods, leading to a priori
as well as a posterior performance guarantees. We illustrate the generality and
implications of our theoretical results in the special case of the long-run
average cost and discounted cost optimal control problems for Markov decision
processes on Borel spaces. The applicability of the theoretical results is
demonstrated through a constrained linear quadratic optimal control problem and
a fisheries management problem.Comment: 30 pages, 5 figure