Computation of approximate value functions for constrained control problems
(2006) 17th International Symposium on Mathematical Theory of Networks and Systems, 2006- Abstract
- The paper discusses an iterative algorithm for computing approximations to the
optimal value function for constrained control problems. The algorithm gives an
explicit measure on the distance to the optimal value function. A major step
in the course of constructing an algorithm for these problems is to choose
an efficient parameterization. The choice has several implications.
The main obstacle in the algorithm we consider is that it involves an
infinite-dimensional optimization problem in each step, without
approximations these problems are computationally infeasible. The choice of
parameterization must thus be chosen accordingly. Multivariate polynomials... (More) - The paper discusses an iterative algorithm for computing approximations to the
optimal value function for constrained control problems. The algorithm gives an
explicit measure on the distance to the optimal value function. A major step
in the course of constructing an algorithm for these problems is to choose
an efficient parameterization. The choice has several implications.
The main obstacle in the algorithm we consider is that it involves an
infinite-dimensional optimization problem in each step, without
approximations these problems are computationally infeasible. The choice of
parameterization must thus be chosen accordingly. Multivariate polynomials
are a good candidate parameterization. To obtain a feasible algorithm, we
impose certain convexity properties and make use of recent results on
the representation of positive polynomials. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/record/945395
- author
- Wernrud, Andreas ^{LU}
- organization
- publishing date
- 2006
- type
- Contribution to conference
- publication status
- published
- subject
- keywords
- Optimal Control, Dynamic Programming, Convex Optimization
- conference name
- 17th International Symposium on Mathematical Theory of Networks and Systems, 2006
- language
- English
- LU publication?
- yes
- id
- f0eba919-046b-4a3f-9d70-8c26f09b629a (old id 945395)
- date added to LUP
- 2008-01-23 11:47:22
- date last changed
- 2016-06-21 16:01:00
@misc{f0eba919-046b-4a3f-9d70-8c26f09b629a, abstract = {The paper discusses an iterative algorithm for computing approximations to the <br/><br> optimal value function for constrained control problems. The algorithm gives an <br/><br> explicit measure on the distance to the optimal value function. A major step <br/><br> in the course of constructing an algorithm for these problems is to choose <br/><br> an efficient parameterization. The choice has several implications. <br/><br> The main obstacle in the algorithm we consider is that it involves an <br/><br> infinite-dimensional optimization problem in each step, without <br/><br> approximations these problems are computationally infeasible. The choice of <br/><br> parameterization must thus be chosen accordingly. Multivariate polynomials <br/><br> are a good candidate parameterization. To obtain a feasible algorithm, we <br/><br> impose certain convexity properties and make use of recent results on <br/><br> the representation of positive polynomials.}, author = {Wernrud, Andreas}, keyword = {Optimal Control,Dynamic Programming,Convex Optimization}, language = {eng}, title = {Computation of approximate value functions for constrained control problems}, year = {2006}, }