Probabilistic reachability and control synthesis for stochastic switched systems using the tamed Euler method. (May 2020)

• Record Type: Journal Article
• Authors: Le Coënt, Adrien; Fribourg, Laurent; Vacher, Jonathan; Wisniewski, Rafael
• Is Part Of: Nonlinear analysis. Volume 36(2020)
• Publication Date: 2020-05
• Subjects: Stochastic systems -- Numerical simulation -- Control system synthesis -- Switched control systems -- Nonlinear control systems; Nonlinear functional analysis -- Periodicals; Analyse fonctionnelle non linéaire -- Périodiques; Nonlinear functional analysis; Periodicals; 515.7248
• DOI: 10.1016/j.nahs.2020.100860
• Languages: English
• ISSNs: 1751-570X

Abstract

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.