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Pré-Publication, Document De Travail Année : 2017

Control Synthesis for Stochastic Switched Systems using the Tamed Euler Method

Résumé

In this paper, we explain how, under the one-sided Lipschitz (OSL) hypothesis, one can find an error bound for a variant of the Euler-Maruyama approximation method for stochastic switched systems. We then explain how this bound can be used to control stochastic switched switched system in order to stabilize them in a given region. The method is illustrated on several examples of the literature.
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Dates et versions

hal-01670579 , version 1 (21-12-2017)

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  • HAL Id : hal-01670579 , version 1

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Adrien Le Coënt, L Fribourg, J Vacher. Control Synthesis for Stochastic Switched Systems using the Tamed Euler Method. 2017. ⟨hal-01670579⟩
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