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Stochastic Differential Dynamic Programming

2010

Article

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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

Links: PDF

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},
  crossref = {p10307}
}