Introducing the Adaptive Convex Enveloping
Optimization and Control
2011-11-14 v1
Abstract
Convexity, though extremely important in mathematical programming, has not drawn enough attention in the field of dynamic programming. This paper gives conditions for verifying convexity of the cost-to-go functions, and introduces an accurate, fast and reliable algorithm for solving convex dynamic programs with multivariate continuous states and actions, called Adaptive Convex Enveloping. This is a short introduction of the core technique created and used in my dissertation, so it is less formal, and misses some parts, such as literature review and reference, compared to a full journal paper.
Cite
@article{arxiv.1111.2658,
title = {Introducing the Adaptive Convex Enveloping},
author = {Sheng Yu and Enrique Campos-Nanez},
journal= {arXiv preprint arXiv:1111.2658},
year = {2011}
}
Comments
A short introduction of the core technique created and used in my dissertation. 12 pages