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Reference TypeJournal Article
Author(s)Theodorou, E., Tassa, Y., Todorov, E.
Year2010
TitleStochastic Differential Dynamic Programming
Journal/Conference/Book TitleIn the proceedings of American Control Conference (ACC 2010)
KeywordsStochastic Differential Dynamic Programming,Second Order Optimal Control
AbstractWe 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 PDFhttp://www-clmc.usc.edu/publications//E/EvangelosACC2010.pdf

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