Book ; Online: Stochastic Optimal Control via Local Occupation Measures
2022
Abstract: Viewing stochastic processes through the lens of occupation measures has proven to be a powerful angle of attack for the theoretical and computational analysis for a wide range of stochastic optimal control problems. We present a simple modification of ... ...
Abstract | Viewing stochastic processes through the lens of occupation measures has proven to be a powerful angle of attack for the theoretical and computational analysis for a wide range of stochastic optimal control problems. We present a simple modification of the traditional occupation measure framework derived from resolving the occupation measures locally on a partition of the state space and control horizon. This modification bridges the gap between discretization based approximations to the solution of the Hamilton-Jacobi-Bellmann equations and convex optimization based approaches relying on the moment-sum-of-squares hierarchy. When combined with the moment-sum-of-squares hierarchy, the notion of local occupation measures provides fine-grained control over the construction of highly structured semidefinite programming relaxations for a rich class of stochastic optimal control problems with embedded diffusion and jump processes. We show how these relaxations are constructed, analyze their favorable properties, and demonstrate with examples that they hold the potential to allow for the computation of tighter bounds orders of magnitude faster than is possible via naive combination of the moment-sum-of-squares hierarchy with the traditional occupation measure framework. Comment: 22 pages, 10 figures, associated implementation: https://github.com/FHoltorf/MarkovBounds.jl |
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Keywords | Mathematics - Optimization and Control ; Electrical Engineering and Systems Science - Systems and Control |
Subject code | 510 |
Publishing date | 2022-11-28 |
Publishing country | us |
Document type | Book ; Online |
Database | BASE - Bielefeld Academic Search Engine (life sciences selection) |
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