Analysis and Control of Stochastic Systems Using Semidefinite Programming Over Moments
From MaRDI portal
Publication:5223679
DOI10.1109/TAC.2018.2872274zbMATH Open1482.93707arXiv1702.00422WikidataQ129244811 ScholiaQ129244811MaRDI QIDQ5223679FDOQ5223679
Authors: Andrew Lamperski, Khem Raj Ghusinga, Abhyudai Singh 
Publication date: 18 July 2019
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Abstract: This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system of linear ordinary differential equations. Typically, however, the moments are not closed and an infinite system of equations is required to compute statistical moments exactly. Existing methods for stochastic analysis, known as closure methods, focus on approximating this infinite system of equations with a finite dimensional system. This work develops an alternative approach in which the higher order terms, which are approximated in closure methods, are viewed as inputs to a finite-dimensional linear control system. Under this interpretation, upper and lower bounds of statistical moments can be computed via convex linear optimal control problems with semidefinite constraints. For analysis of steady-state distributions, this optimal control problem reduces to a static semidefinite program. These same optimization problems extend automatically to stochastic optimal control problems. For minimization problems, the methodology leads to guaranteed lower bounds on the true optimal value. Furthermore, we show how an approximate optimal control strategy can be constructed from the solution of the semidefinite program. The results are illustrated using numerous examples.
Full work available at URL: https://arxiv.org/abs/1702.00422
Numerical methods based on nonlinear programming (49M37) Semidefinite programming (90C22) Optimal stochastic control (93E20)
Cited In (4)
- Moment Analysis of Linear Time-Varying Dynamical Systems with Renewal Transitions
- Moment analysis of stochastic hybrid systems using semidefinite programming
- A two-stage dual suboptimal controller for stochastic systems using approximate moments
- Interval analysis of worst-case stationary moments for stochastic chemical reactions with uncertain parameters
This page was built for publication: Analysis and Control of Stochastic Systems Using Semidefinite Programming Over Moments
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5223679)
