Massively parallelizable proximal algorithms for large‐scale stochastic optimal control problems

DOI10.1002/OCA.3054arXiv2107.01745OpenAlexW3182053427MaRDI QIDQ6180307FDOQ6180307

A. Bemporad, Pantelis Sopasakis, Panagiotis Patrinos, Ajay Kumar Sampathirao

Publication date: 19 January 2024

Published in: Optimal Control Applications \& Methods (Search for Journal in Brave)

Abstract: Scenario-based stochastic optimal control problems suffer from the curse of dimensionality as they can easily grow to six and seven figure sizes. First-order methods are suitable as they can deal with such large-scale problems, but may fail to achieve accurate solutions within a reasonable number of iterations. To achieve solutions of higher accuracy and high speed, in this paper we propose two proximal quasi-Newtonian limited-memory algorithms - MinFBE applied to the dual problem and the Newton-type alternating minimization algorithm (NAMA) - which can be massively parallelized on lockstep hardware such as graphics processing units (GPUs). We demonstrate the performance of these methods, in terms of convergence speed and parallelizability, on large-scale problems involving millions of variables.

Full work available at URL: https://arxiv.org/abs/2107.01745

zbMATH Keywords

graphics processing units (GPUs)parallelizable numerical optimizationscenario-based linear-quadratic constrained stochastic optimal control

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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