Related papers: A Convex Optimization Approach to Dynamic Programm…
In this work, we propose a new local optimization method to solve a class of nonconvex semidefinite programming (SDP) problems. The basic idea is to approximate the feasible set of the nonconvex SDP problem by inner positive semidefinite…
This paper presents a Successive Convexification ($ \texttt{SCvx} $) algorithm to solve a class of non-convex optimal control problems with certain types of state constraints. Sources of non-convexity may include nonlinear dynamics and…
We present a quantum algorithm to solve dynamic programming problems with convex value functions. For linear discrete-time systems with a $d$-dimensional state space of size $N$, the proposed algorithm outputs a quantum-mechanical…
Existing value function approximation methods have been successfully used in many applications, but they often lack useful a priori error bounds. We propose a new approximate bilinear programming formulation of value function approximation,…
In this paper, we consider discrete-time infinite horizon problems of optimal control to a terminal set of states. These are the problems that are often taken as the starting point for adaptive dynamic programming. Under very general…
Stochastic nonconvex optimization problems with nonlinear constraints have a broad range of applications in intelligent transportation, cyber-security, and smart grids. In this paper, first, we propose an inexact-proximal accelerated…
We present an accelerated algorithm for the solution of static Hamilton-Jacobi-Bellman equations related to optimal control problems. Our scheme is based on a classic policy iteration procedure, which is known to have superlinear…
We describe a convex programming approach to the calculation of lower bounds on the minimum cost of constrained decentralized control problems with nonclassical information structures. The class of problems we consider entail the…
In this paper, distributed convex optimization problem over non-directed dynamical networks is studied. Here, networked agents with single-integrator dynamics are supposed to rendezvous at a point that is the solution of a global convex…
A computationally efficient method to solve non-convex programming problems with linear equality constraints is presented. The proposed method is based on a recursively feasible and descending sequential convex programming procedure proven…
We present a novel class of minimax optimal control problems with positive dynamics, linear objective function and homogeneous constraints. The proposed problem class can be analyzed with dynamic programming and an explicit solution to the…
We consider stochastic dynamic programming problems with high-dimensional, discrete state-spaces and finite, discrete-time horizons that prohibit direct computation of the value function from a given Bellman equation for all states and time…
Given an infeasible, unbounded, or pathological convex optimization problem, a natural question to ask is: what is the smallest change we can make to the problem's parameters such that the problem becomes solvable? In this paper, we address…
Two optimization algorithms are proposed for solving a stochastic programming problem for which the objective function is given in the form of the expectation of convex functions and the constraint set is defined by the intersection of…
We study the dynamic programming approach to revenue management in the context of attended home delivery. We draw on results from dynamic programming theory for Markov decision problems to show that the underlying Bellman operator has a…
The linear programming (LP) approach has a long history in the theory of approximate dynamic programming. When it comes to computation, however, the LP approach often suffers from poor scalability. In this work, we introduce a relaxed…
Devising efficient algorithms that track the optimizers of continuously varying convex optimization problems is key in many applications. A possible strategy is to sample the time-varying problem at constant rate and solve the resulting…
In this paper, we present a generic framework to extend existing uniformly optimal convex programming algorithms to solve more general nonlinear, possibly nonconvex, optimization problems. The basic idea is to incorporate a local search…
In this paper, we consider the problem of stochastic optimization, where the objective function is in terms of the expectation of a (possibly non-convex) cost function that is parametrized by a random variable. While the convergence speed…
Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…