Exponential decay in the sensitivity analysis of nonlinear dynamic programming

DOI10.1137/19M1265065MaRDI QIDQ5114396zbMATH OpenWikidataFDO

Authors Sen Na, Mihai Anitescu

Publication date 22 June 2020

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

Full work available at URL https://arxiv.org/abs/1912.06734

zbMATH Keywords

nonlinear dynamic programmingoptimizationsensitivity analysis

Mathematics Subject Classification ID

Dynamic programming (90C39) Sensitivity (robustness) (93B35) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55)

Abstract: In this paper, we study the sensitivity of discrete-time dynamic programs with nonlinear dynamics and objective to perturbations in the initial conditions and reference parameters. Under uniform controllability and boundedness assumptions for the problem data, we prove that the directional derivative of the optimal state and control at time $k$, $$ and $$, with respect to the reference signal at time $i$, $$, will have exponential decay in terms of $|k-i|$ with a decay rate $ho$ independent of the temporal horizon length. The key technical step is to prove that a version of the convexification approach proposed by Verschueren et al. can be applied to the KKT conditions and results in a convex quadratic program with uniformly bounded data. In turn, Riccati techniques can be further employed to obtain the sensitivity result, borne from the observation that the directional derivatives are solutions of quadratic programs with structure similar to the KKT conditions themselves. We validate our findings with numerical experiments on a small nonlinear, nonconvex, dynamic program.

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Cited in

(4)

• Exponential decay of sensitivity in graph-structured nonlinear programs
• Robust stability of full information estimation
• Near-Optimal Distributed Linear-Quadratic Regulator for Networked Systems
• Separable approximations of optimal value functions and their representation by neural networks

Describes a project that uses

Uses Software

• Ipopt
• qpOASES
• JuMP

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