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most citedChance Constrained Stochastic Optimal Control for Arbitrarily Disturbed LTI Systems Via the One-Sided Vysochanskij-Petunin Inequality

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math.OC2021★ 1 cited

Approximate Quantiles for Stochastic Optimal Control of LTI Systems with Arbitrary Disturbances

Shawn Priore, Christopher Petersen, Meeko Oishi

We propose a method for open-loop stochastic optimal control of LTI systems based on Taylor approximations of quantile functions. This approach enables efficient computation of qua…