On convexity of stochastic optimization problems with constraints | IEEE Conference Publication | IEEE Xplore

On convexity of stochastic optimization problems with constraints


Abstract:

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost ...Show More

Abstract:

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then reformulated in terms of probabilistic constraints. It is shown that, for a suitable parametrization of the control policy, a wide class of the resulting optimization problems are either convex or amenable to convex relaxations.
Date of Conference: 23-26 August 2009
Date Added to IEEE Xplore: 02 April 2015
Print ISBN:978-3-9524173-9-3
Conference Location: Budapest, Hungary

References

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