Different Approaches on Stochastic Reachability as an Optimal Stopping Problem


Bujorianu, L.M. (2008) Different Approaches on Stochastic Reachability as an Optimal Stopping Problem. [Report]

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Abstract:Reachability analysis is the core of model checking of time systems. For
stochastic hybrid systems, this safety verification method is very little supported mainly
because of complexity and difficulty of the associated mathematical problems. In this
paper, we develop two main directions of studying stochastic reachability as an optimal
stopping problem. The first approach studies the hypotheses for the dynamic programming
corresponding with the optimal stopping problem for stochastic hybrid systems.
In the second approach, we investigate the reachability problem considering approximations
of stochastic hybrid systems. The main difficulty arises when we have to prove the
convergence of the value functions of the approximating processes to the value function
of the initial process. An original proof is provided.
Item Type:Report
Electrical Engineering, Mathematics and Computer Science (EEMCS)
Link to this item:http://purl.utwente.nl/publications/64677
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