Control Synthesis for Stochastic Switched Systems using the Tamed Euler Method

31 Aug 2018 in Publications

with A. Le Coënt and L. Fribourg

Set control methods applied to stochastic differential equations.

1. Le Coënt, A., Fribourg, L. & Vacher, J. Control Synthesis for Stochastic Switched Systems using the Tamed Euler Method. in IFAC-PapersOnLine 51, 259–264 (2018).

   @inproceedings{LeCoent2018control,
     title = {Control Synthesis for Stochastic Switched Systems using the Tamed Euler Method},
     journal = {IFAC-PapersOnLine},
     volume = {51},
     number = {16},
     pages = {259 - 264},
     year = {2018},
     booktitle = {6th IFAC Conference on Analysis and Design of Hybrid Systems ADHS 2018},
     issn = {2405-8963},
     doi = {10.1016/j.ifacol.2018.08.044},
     author = {Le Co\"ent, Adrien and Fribourg, Laurent and Vacher, Jonathan},
     keywords = {Stochastic systems, numerical simulation, control system synthesis, switched control systems, nonlinear control systems}
   }
   

Abstract

In this paper, we explain how, under the one-sided Lipschitz (OSL) hypothesis, one can find an error bound for a variant of the Euler-Maruyama approximation method for stochastic switched systems. We then explain how this bound can be used to control stochastic switched switched system in order to stabilize them in a given region. The method is illustrated on several examples of the literature.