A Duality Framework for Stochastic Optimal Control of Complex Systems
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Publication:2980322
DOI10.1109/TAC.2015.2504518zbMATH Open1359.93538arXiv1506.03417MaRDI QIDQ2980322FDOQ2980322
Authors: Andreas A. Malikopoulos 
Publication date: 3 May 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Abstract: We address the problem of minimizing the long-run expected average cost of a complex system consisting of interactive subsystems. We formulate a multiobjective optimization problem of the one-stage expected costs of the subsystems and provide a duality framework to prove that the control policy yielding the Pareto optimal solution minimizes the average cost criterion of the system. We provide the conditions of existence and a geometric interpretation of the solution. For practical situations with constraints consistent to those studied here, our results imply that the Pareto control policy may be of value when we seek to derive online the optimal control policy in complex systems.
Full work available at URL: https://arxiv.org/abs/1506.03417
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- The average cost of Markov chains subject to total variation distance uncertainty
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- Separation of learning and control for cyber-physical systems
- A two-stage dual suboptimal controller for stochastic systems using approximate moments
- Duality and lower bounds in optimal stochastic control
- Improved multiplex control systems: dynamic reliability and stochastic optimality
- Combining learning and control in linear systems
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