Probabilistic Reachability and Invariance Computation of Stochastic Systems using Linear Programming

14 Nov 2022  ·  Niklas Schmid, John Lygeros ·

We consider the safety evaluation of discrete time, stochastic systems over a finite horizon. Therefore, we discuss and link probabilistic invariance with reachability as well as reach-avoid problems. We show how to efficiently compute these quantities using dynamic and linear programming.

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