A Duality Framework for Stochastic Optimal Control of Complex Systems

DOI10.1109/TAC.2015.2504518MaRDI QIDQ2980322zbMATH OpenFDO

Authors Andreas A. Malikopoulos

Publication date 3 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.03417

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Optimal stochastic control (93E20)

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.

Cited in

(8)

• An energy-optimal framework for assignment and trajectory generation in teams of autonomous agents
• The average cost of Markov chains subject to total variation distance uncertainty
• A constrained optimal control framework for vehicle platoons with delayed communication
• 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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