4,773 research outputs found
Price decomposition in large-scale stochastic optimal control
We are interested in optimally driving a dynamical system that can be
influenced by exogenous noises. This is generally called a Stochastic Optimal
Control (SOC) problem and the Dynamic Programming (DP) principle is the natural
way of solving it. Unfortunately, DP faces the so-called curse of
dimensionality: the complexity of solving DP equations grows exponentially with
the dimension of the information variable that is sufficient to take optimal
decisions (the state variable). For a large class of SOC problems, which
includes important practical problems, we propose an original way of obtaining
strategies to drive the system. The algorithm we introduce is based on
Lagrangian relaxation, of which the application to decomposition is well-known
in the deterministic framework. However, its application to such closed-loop
problems is not straightforward and an additional statistical approximation
concerning the dual process is needed. We give a convergence proof, that
derives directly from classical results concerning duality in optimization, and
enlghten the error made by our approximation. Numerical results are also
provided, on a large-scale SOC problem. This idea extends the original DADP
algorithm that was presented by Barty, Carpentier and Girardeau (2010)
Cloud-Based Centralized/Decentralized Multi-Agent Optimization with Communication Delays
We present and analyze a computational hybrid architecture for performing
multi-agent optimization. The optimization problems under consideration have
convex objective and constraint functions with mild smoothness conditions
imposed on them. For such problems, we provide a primal-dual algorithm
implemented in the hybrid architecture, which consists of a decentralized
network of agents into which centralized information is occasionally injected,
and we establish its convergence properties. To accomplish this, a central
cloud computer aggregates global information, carries out computations of the
dual variables based on this information, and then distributes the updated dual
variables to the agents. The agents update their (primal) state variables and
also communicate among themselves with each agent sharing and receiving state
information with some number of its neighbors. Throughout, communications with
the cloud are not assumed to be synchronous or instantaneous, and communication
delays are explicitly accounted for in the modeling and analysis of the system.
Experimental results are presented to support the theoretical developments
made.Comment: 8 pages, 4 figure
System Level Synthesis
This article surveys the System Level Synthesis framework, which presents a
novel perspective on constrained robust and optimal controller synthesis for
linear systems. We show how SLS shifts the controller synthesis task from the
design of a controller to the design of the entire closed loop system, and
highlight the benefits of this approach in terms of scalability and
transparency. We emphasize two particular applications of SLS, namely
large-scale distributed optimal control and robust control. In the case of
distributed control, we show how SLS allows for localized controllers to be
computed, extending robust and optimal control methods to large-scale systems
under practical and realistic assumptions. In the case of robust control, we
show how SLS allows for novel design methodologies that, for the first time,
quantify the degradation in performance of a robust controller due to model
uncertainty -- such transparency is key in allowing robust control methods to
interact, in a principled way, with modern techniques from machine learning and
statistical inference. Throughout, we emphasize practical and efficient
computational solutions, and demonstrate our methods on easy to understand case
studies.Comment: To appear in Annual Reviews in Contro
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