An ordinal optimization approach to optimal control problems
The paper deals with a discrete stochastic optimization problem of the type: Find \[ \min_{\theta \in \Theta} J(\theta), \] where \( J(\theta) ={\mathbb E} [L (x(t;\theta, \xi))]\); \(L (x(t;\theta, \xi))\) represents some sample performance function evaluated through the realization of a system trajectory \(x((t;\theta, \xi)) \) under the design parameter \(\theta; \) \(\xi\) represents the random effects of the system. (The symbol \({\mathbb E} \) is reserved for mathematical expectation.) In particular, it is supposed that \(\Theta\) is a finite set with a huge number of elements. Furthermore, it is supposed that \(J(\theta)\) has little analytical structure but large uncertainty and must be estimated through repeated simulation of sample performances. Evidently, to solve (under these assumptions) the above mentioned type of problems is rather complicated and most of the time impossible. Consequently, the solving procedure is very often constructed to obtain (with high probability) an ``acceptable solution instead of the exact optimal one. The aim of the authors is to deal with ``ordinal optimization methods that just can guarantee the ``acceptable value of the objective function. They describe this approach in the case of a well-known (two-stage) Witsenhausen problem.
- A control-theoretic perspective on optimal high-order optimization
- scientific article; zbMATH DE number 741507
- Optimal control problems with higher order constraints
- An explicit method for optimal control problems
- Generalizations of optimal control problems by comparison
- Approaches to the optimizing control problem
- scientific article; zbMATH DE number 4100507
- scientific article; zbMATH DE number 4002908
- Methodes D’Optimisation Dans la Theorie du Controle
- Regular ordering and applications in control policies
- Optimization formulation and monotonic solution method for the Witsenhausen problem
- Constraint ordinal optimization
- The equivalence between ordinal optimization in deterministic complex problems and in stochastic simulation problems
- Multi-objective ordinal optimization for simulation optimization problems
- A new approach to discrete stochastic optimization problems
- Monte Carlo and Las Vegas randomized algorithms for systems and control. An introduction
- Selecting a good stochastic system for the large number of alternatives
- Ordinal optimization for a class of deterministic and stochastic discrete resource allocation problems
- New insights into Witsenhausen's counterexample
- Ordinal optimization with subset selection rule
- Optimal memoryless control in Gaussian noise: a simple counterexample
- An illustrative case study on application of learning based ordinal optimization approach to complex deterministic problem
- Demonstration of probabilistic ordinal optimization concepts for continuous-variable optimization under uncertainty
- Ordinal optimization and quantification of heuristic designs
This page was built for publication: An ordinal optimization approach to optimal control problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1295099)
