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arXiv · 1711.08851

Convex Relaxations for Nonlinear Stochastic Optimal Control Problems

Yuanxun Shao·Dillard Robertson·Joseph Kirk Scott
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Abstract

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.

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Yuanxun Shao, Dillard Robertson, Joseph Kirk Scott. 2017-11-24. Convex Relaxations for Nonlinear Stochastic Optimal Control Problems. https://arxiv.org/abs/1711.08851

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