Stochastic Differential Dynamic Programming
2010
Article
am
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.
Author(s): | Theodorou, E. and Tassa, Y. and Todorov, E. |
Book Title: | In the proceedings of American Control Conference (ACC 2010) |
Year: | 2010 |
Department(s): | Autonomous Motion |
Bibtex Type: | Article (article) |
Cross Ref: | p10307 |
Note: | clmc |
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BibTex @article{EvangelosACC2010, title = {Stochastic Differential Dynamic Programming}, author = {Theodorou, E. and Tassa, Y. and Todorov, E.}, booktitle = {In the proceedings of American Control Conference (ACC 2010) }, year = {2010}, note = {clmc}, doi = {}, crossref = {p10307} } |