State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE

• Published in: Automatica (Oxford) Vol. 155; p. 111146
• Main Authors: Dai, Bolun, Krishnamurthy, Prashanth, Papanicolaou, Andrew, Khorrami, Farshad
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.09.2023
• Subjects: Forward and backward stochastic differential equations; Optimal control; Stochastic control; Stochastic control; Optimal control; Forward and backward stochastic differential equations

We develop a computationally efficient learning-based forward–backward stochastic differential equations (FBSDE) controller for both continuous and hybrid dynamical (HD) systems subject to stochastic noise and state constraints. Solutions to stochastic optimal control (SOC) problems satisfy the Hami...