An Optimal Control Problem with Terminal Stochastic Linear Complementarity Constraints

DOI10.1137/22M151594XMaRDI QIDQ6071809zbMATH OpenOpenAlexFDO

Authors

Publication date 29 November 2023

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2208.07516

zbMATH Keywords

convergence analysisimplicit Euler time-steppingODE constrained optimal control problemsample average approximationstochastic linear complementarity problem (LCP)

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Methods involving semicontinuity and convergence; relaxation (49J45) Discrete approximations in optimal control (49M25) Linear-quadratic optimal control problems (49N10) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Abstract: In this paper, we investigate an optimal control problem with terminal stochastic linear complementarity constraints (SLCC), and its discrete approximation using the relaxation, the sample average approximation (SAA) and the implicit Euler time-stepping scheme. We show the existence of feasible solutions and optimal solutions to the optimal control problem and its discrete approximation under the conditions that the expectation of the stochastic matrix in the SLCC is a Z-matrix or an adequate matrix. Moreover, we prove that the solution sequence generated by the discrete approximation converges to a solution of the original optimal control problem with probability 1 as $epsilondownarrow0$, $uoinfty$ and $hdownarrow0$, where $epsilon$ is the relaxation parameter, $u$ is the sample size and $h$ is the mesh size. We also provide asymptotics of the SAA optimal value and error bounds of the time-stepping method. A numerical example is used to illustrate the existence of optimal solutions, the discretization scheme and error estimation.

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Cited in

(2)

• Constrained linear MPC with time-varying terminal cost using convex combinations
• Dynamic systems coupled with solutions of stochastic nonsmooth convex optimization

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