Regression-based LP solver for chance-constrained finite horizon optimal control with nonconvex constraints.
Ashis Gopal BanerjeeMasahiro OnoNicholas RoyBrian C. WilliamsPublished in: ACC (2011)
Keyphrases
- optimal control
- infinite horizon
- finite horizon
- chance constrained
- stochastic programming
- chance constraints
- multistage
- dynamic programming
- average cost
- optimal policy
- linear program
- inventory control
- single product
- objective function
- production planning
- linear programming
- control strategy
- robust optimization
- knapsack problem
- single item
- reinforcement learning
- markov decision process
- markov decision processes
- fixed cost
- optimization problems
- mixed integer
- control law
- convex optimization
- brownian motion
- np hard
- optimal solution
- machine learning