Chance constrained finite horizon optimal control with nonconvex constraints.
Masahiro OnoLars BlackmoreBrian C. WilliamsPublished in: ACC (2010)
Keyphrases
- optimal control
- infinite horizon
- finite horizon
- chance constrained
- chance constraints
- average cost
- dynamic programming
- stochastic programming
- chance constrained programming
- control strategy
- knapsack problem
- single item
- single product
- multistage
- production planning
- inventory control
- markov decision process
- markov decision processes
- optimal policy
- reinforcement learning
- robust optimization
- optimization problems
- lost sales
- fixed cost
- brownian motion
- control law
- objective function
- real time
- long run
- holding cost
- evolutionary algorithm
- lower bound