A Hierarchy of Near-Optimal Policies for
A Hierarchy of Near-Optimal Policies for
复制标题
接近最优策略的层次结构
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
P. Parrilo
中科院分区：
文献类型：
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作者：
D. Bertsimas;P. Parrilo
本文提出了一种新的处理不确定性影响下的线性动力系统的框架，适用于多阶段鲁棒优化和随机规划。我们引入了一个层次的近最优多项式扰动反馈控制策略，并展示了如何通过解决一个单一的半定规划问题来计算这些。该方法通过一个变量（多项式策略的阶数）对层次结构进行参数化，从而控制最优性差距和计算要求之间的权衡。我们评估我们的框架的背景下，三个经典的appli-阳离子两个在库存管理中，一个在鲁棒调节的主动悬架系统，其中非常强大的数值表现，在相对温和的计算费用。
In this paper, we propose a new tractable framework for dealing with linear dynamical systems affected by uncertainty, applicable to multistage robust optimization and stochastic pro- gramming. We introduce a hierarchy of near-optimal polynomial disturbance-feedback control policies, and show how these can be computed by solving a single semidefinite programming problem. Theapproachyieldsahierarchyparameterizedbyasinglevariable (the degree of the polynomial policies), which controlsthe trade-off between the optimality gap and the computational requirements. We evaluate our framework in the context of three classical appli- cations—two in inventory management, and one in robust regula- tion of an active suspension system—in which very strong numer- ical performance is exhibited, at relatively modest computational expense.