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| Record Number | 10307 |
| Reference Type | Journal Article |
| Author(s) | Evangelos A. Theodorou, Yuval Tassa, Emo Todorov, |
| Year | submitted |
| Title | Stochastic Differential Dynamic Programming. (MANUSCRIPT UNDER REVIEW. SUGGESTIONS WELCOME) |
| Keywords | stochastic differential dynamics programming,second order optimal control |
Abstract |
We present a generalization of the classic Differential Dynamic Programming algorithm. We assume the existence of state- and control-dependent process noise, and proceed to derive the second-order expansion of the cost-to-go. Despite having quartic and cubic terms in the initial expression, we show that these vanish, leaving us with the same quadratic structure as standard DDP.
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| Notes | clmc |
| Link to PDF | http://www-clmc.usc.edu/publications//E/SDDP.pdf |
| Papers are available as Adobe PDF ".pdf" files. Adobe Reader is available for free for all computer platforms.
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Page last modified on August 10, 2006, at 06:47 PM
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