most citedAn Incremental Sampling-based Algorithm for Stochastic Optimal Control

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eess.SY2013

A Martingale Approach and Time-Consistent Sampling-based Algorithms for Risk Management in Stochastic Optimal Control

Vu Anh Huynh, Leonid Kogan, Emilio Frazzoli

In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states…