A convex optimization approach to dynamic programming in continuous state and action spaces

DOI10.1007/s10957-020-01747-1zbMath1467.90085arXiv1810.03847OpenAlexW3104081151MaRDI QIDQ831365

Insoon Yang

Publication date: 11 May 2021

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.03847

zbMATH Keywords

optimal controlconvex optimizationdynamic programmingstochastic control

Mathematics Subject Classification ID

Convex programming (90C25) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Approximation of Markov decision processes with general state space
• Lectures on convex optimization
• Discretization procedures for adaptive Markov control processes
• Semi-Lagrangian schemes for Hamilton-Jacobi equations, discrete representation formulae and Godunov methods
• A dynamic game approach to distributionally robust safety specifications for stochastic systems
• Probabilistic error analysis for some approximation schemes to optimal control problems
• Reach set computation and control synthesis for discrete-time dynamical systems with disturbances
• Probabilistic reachability and safety for controlled discrete time stochastic hybrid systems
• Finite Linear Programming Approximations of Constrained Discounted Markov Decision Processes
• On Curves of Minimal Length with a Constraint on Average Curvature, and with Prescribed Initial and Terminal Positions and Tangents
• Algorithms for Reinforcement Learning
• Convergence of Dynamic Programming Models
• An optimal one-way multigrid algorithm for discrete-time stochastic control
• Convergence of discretization procedures in dynamic programming
• Approximations of Dynamic Programs, I
• Numerical Solution of Continuous-State Dynamic Programs Using Linear and Spline Interpolation
• Using Randomization to Break the Curse of Dimensionality
• On the Asymptotic Optimality of Finite Approximations to Markov Decision Processes with Borel Spaces
• An Efficient DP Algorithm on a Tree-Structure for Finite Horizon Optimal Control Problems
• A Universal Empirical Dynamic Programming Algorithm for Continuous State MDPs
• Semidefinite Approximations of Reachable Sets for Discrete-time Polynomial Systems
• Approximation of average cost Markov decision processes using empirical distributions and concentration inequalities

This page was built for publication: A convex optimization approach to dynamic programming in continuous state and action spaces