Stochastic Control Systems

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientific

Abstract

The concept of a stochastic control system is defined as a map from a tuple of the current state and the current input to the conditional probability distribution of the tuple of the next state and the current output. A Gaussian stochastic control system representation is defined which represents such a stochastic system. Stochastic controllability is defined as the property that there exists an input trajectory such that the probability distribution of a future state equals a prespecified particular probability distribution. A characterization of stochastic controllability of a Gaussian stochastic control system is provided.

Original languageEnglish
Title of host publicationControl and System Theory of Discrete-Time Stochastic Systems
EditorsJ.H. van Schuppen
PublisherSpringer Science and Business Media Deutschland GmbH
Chapter10
Pages375-397
Number of pages23
ISBN (Electronic)978-0-030-66952-2
DOIs
Publication statusPublished - 2021

Publication series

NameCommunications and Control Engineering
ISSN (Print)0178-5354
ISSN (Electronic)2197-7119

Keywords

  • Stochastic control system
  • Stochastic controllability

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