Optimal control for linear discrete systems with respect to probabilistic criteria

We consider the optimal control problem for a linear discrete stochastic system. The optimality criterion is the probability for the first coordinate of the system to fall into a given neighborhood of zero in time not exceeding a predefined value. The problem reduces to an equivalent stochastic optimal control problem with probabilistic terminal criterion. The latter can be solved analytically with dynamical programming. We give sufficient conditions for which the resulting optimal control turns out to be also optimal with respect to the quantile criterion.

Presented by the member of Editorial Board: A. I. Kibzun