Sequential convex programming for non-linear stochastic optimal control
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Abstract: This work introduces a sequential convex programming framework for non-linear, finite-dimensional stochastic optimal control, where uncertainties are modeled by a multidimensional Wiener process. We prove that any accumulation point of the sequence of iterates generated by sequential convex programming is a candidate locally-optimal solution for the original problem in the sense of the stochastic Pontryagin Maximum Principle. Moreover, we provide sufficient conditions for the existence of at least one such accumulation point. We then leverage these properties to design a practical numerical method for solving non-linear stochastic optimal control problems based on a deterministic transcription of stochastic sequential convex programming.
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Cites work
- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 780774 (Why is no real title available?)
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Cited in
(9)- Rough stochastic Pontryagin maximum principle and an indirect shooting method
- Sample average approximation for stochastic programming with equality constraints
- Nonconvexities in a stochastic control problem with learning
- Successive Linearization NMPC for a Class of Stochastic Nonlinear Systems
- Numerical trajectory optimization for stochastic mechanical systems
- Sequential hierarchical least-squares programming for prioritized non-linear optimal control
- Successive suboptimal model predictive control using sequential convex programming
- Decoupling non-sequential stochastic control problems
- A gradient descent-ascent method for continuous-time risk-averse optimal control
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