Journal article
Grid-free computation of probabilistic safety with Malliavin calculus
- Abstract:
- This work concerns continuous-time, continuous-space stochastic dynamical systems described by stochastic differential equations (SDE). It presents a new approach to compute probabilistic safety regions, namely sets of initial conditions of the SDE associated to trajectories that are safe with a probability larger than a given threshold. The approach introduces a functional that is minimised at the border of the probabilistic safety region, then solves an optimisation problem using techniques from Malliavin Calculus, which computes such region. Unlike existing results in the literature, the new approach allows one to compute probabilistic safety regions without gridding the state space of the SDE.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Preview, Accepted manuscript, pdf, 2.0MB, Terms of use)
-
- Publisher copy:
- 10.1109/TAC.2023.3239460
Authors
- Publisher:
- IEEE
- Journal:
- IEEE Transactions on Automatic Control More from this journal
- Volume:
- 68
- Issue:
- 10
- Pages:
- 6369 - 6376
- Publication date:
- 2023-01-24
- Acceptance date:
- 2022-12-27
- DOI:
- EISSN:
-
1558-2523
- ISSN:
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0018-9286
- Language:
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English
- Keywords:
- Pubs id:
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1317629
- Local pid:
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pubs:1317629
- Deposit date:
-
2023-01-04
Terms of use
- Copyright holder:
- IEEE
- Copyright date:
- 2023
- Rights statement:
- © 2023 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
- Notes:
- This is the accepted manuscript version of the article. The final version is available from IEEE at: 10.1109/TAC.2023.3239460
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