|Reference Type||Journal Article|
|Author(s)||Theodorou, E., Tassa, Y., Todorov, E.|
|Title||Stochastic Differential Dynamic Programming|
|Journal/Conference/Book Title||In the proceedings of American Control Conference (ACC 2010) |
|Keywords||Stochastic Differential Dynamic Programming,Second Order Optimal Control|
|Abstract||We present a generalization of the classic Differential Dynamic Programming algorithm. We assume the existence of state- and control-dependent process noise, and proceed to derive the second-order expansion of the cost-to-go. Despite having quartic and cubic terms in the initial expression, we show that these vanish, leaving us with the same quadratic structure as standard DDP.
|Link to PDF||http://www-clmc.usc.edu/publications//E/EvangelosACC2010.pdf|