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On convexity of stochastic optimization problems with constraints

Author(s):

M. Agarwal, E. Cinquemani, D. Chatterjee, J. Lygeros
Conference/Journal:

vol. AUT09-01
Abstract:

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then reformulated in terms of probabilistic constraints. It is shown that, for a suitable parametrization of the control policy, a wide class of the resulting optimization problems are either convex or amenable to convex relaxations.

Year:

2008
Type of Publication:

(04)Technical Report
Supervisor:

J. Lygeros

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% Autogenerated BibTeX entry
@TechReport { AgaEtal:2008:IFA_3271,
    author={M. Agarwal and E. Cinquemani and D. Chatterjee and J. Lygeros},
    title={{On convexity of stochastic optimization problems with
	  constraints}},
    institution={},
    year={2008},
    number={},
    address={},
    month=dec,
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=3271}
}
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