Path Constraints in Tychastic and Unscented Optimal Control: Theory, Applications and Experimental Results

In recent papers, we have shown that a Lebesgue-Stieltjes optimal control theory forms the foundations for unscented optimal control. In this paper, we further our results by incorporating uncertain mixed state-control constraints in the problem formulation. We show that the integrated Hamiltonian minimization condition resembles a semi-infinite type mathematical programming problem. The resulting computational difficulties … Read more