2017/11/24 by Yuanxun Shao, Shao, Yuanxun, Dillard Robertson +3
Mathematics · #FOS: Mathematics #Optimization and Control (math.OC) #math.OC
paper · pdf · doi:10.48550/arxiv.1711.08851
arxiv created 2017/11/24 · arxiv updated 2017/11/27
This article presents a new method for computing guaranteed convex and concave relaxations of nonlinear stochastic optimal control problems with final-time expected-value cost functions. This method is motivated by similar methods for deterministic optimal control problems, which have been successfully applied within spatial branch-and-bound (B&B) techniques to obtain guaranteed global optima. Relative to those methods, a key challenge here is that the expected-value cost function cannot be expressed analytically in closed form. Nonetheless, the presented relaxations provide rigorous lower and upper bounds on the optimal objective value with no sample-based approximation error. In principle, this enables the use of spatial B&B global optimization techniques, but we leave the details of such an algorithm for future work.