Inverse optimal control for discrete-time stochastic nonlinear systems stabilization

This paper presents an inverse optimal control approach for stabilization in probability of discrete-time stochastic nonlinear systems. With the proposed scheme, we avoid to solve the associated stochastic Hamilton-Jacobi-Bellman equation; additionally a cost functional is minimized. This stabilizing optimal controller is based on a discrete-time stochastic control Lyapunov function. The applicability of the proposed approach is illustrated via numerical simulations.