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Lucas Gamertsfelder

Publications and source records attributed to Lucas Gamertsfelder.

3 recordsLinked to original sources

The Effective Countable Generalized Moment Problem

We establish new convergence rates for the Moment-Sum-of-Squares (Moment-SoS) relaxations for the Generalized Moment Problem (GMP) with countable moment constraints on vectors of measures, under dual optimum attainment, $S$-fullness and Archimedean conditions. These bounds, which adapt to the geometry of the underlying semi-algebraic set, apply to both the convergence of optima, and to the convergence in Hausdorff distance between the relaxation feasibility set and the GMP feasibility set. We show that under the previous conditions, the sequence of optimizers of the relaxations converge to the optimizer of the GMP for the weak$^*$ topology, provided this optimal measure is unique. This research provides quantitative geometry-adaptive rates for GMPs cast as linear programs on measures. It complements earlier analyses of specific GMP instances (e.g., polynomial optimization) as well as recent methodological frameworks that have been applied to volume computation and optimal control. We apply the convergence rate analysis to symmetric tensor decomposition problems, providing new effective error bounds for the convergence of the Moment-SoS hierarchies for tensor decomposition.

math.OC

On convergence of occupational measures sets of a discrete-time stochastic control system, with applications to averaging of hybrid systems

In the first part of the paper, we consider a discrete-time stochastic control system. We show that, under certain conditions, the set of random occupational measures generated by the state-control trajectories of the system as well as the set of their mathematical expectations converge (as the time horizon tends to infinity) to a convex and compact (non-random) set, which is shown to coincide with the set of stationary probabilities of the system. In the second part, we apply the results obtained in the first part to deal with a hybrid system that evolves in continuous time and is subjected to abrupt changes of certain parameters. We show that the solutions of such a hybrid system are approximated by the solutions of a differential inclusion, the right-hand side of which is defined by the limit occupational measures set, the existence and convexity of which is established in the first part of the paper.

math.OC

LP Based Upper and Lower Bounds for Ces\`aro and Abel Limits of the Optimal Values in Problems of Control of Stochastic Discrete Time Systems

In this paper, we study asymptotic properties of problems of control of stochastic discrete time systems (also known as Markov decision processes) with time averaging and time discounting optimality criteria, and we establish that the Ces\`aro and Abel limits of the optimal values in such problems can be evaluated with the help of a certain infinite-dimensional linear programming problem and its dual.

math.OC