Quadratic approximate dynamic programming for input-affine systems

@inproceedings{Keshavarz2012QuadraticAD,
  title={Quadratic approximate dynamic programming for input-affine systems},
  author={Arezou Keshavarz and Stephen Boyd},
  year={2012}
}
We consider the use of quadratic approximate value functions for stochastic control problems with inputaffine dynamics and convex stage cost and constraints. Evaluating the approximate dynamic programming policy in such cases requires the solution of an explicit convex optimization problem, such as a quadratic program, which can be carried out efficiently. We describe a simple and general method for approximate value iteration that also relies on our ability to solve convex optimization… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 46 references

CVX: Matlab software for disciplined convex programming

M Grant, S Boyd, Y. Ye
(Available from: http://cvxr.com/cvx/) [Accessed on July • 2006
View 5 Excerpts
Highly Influenced

a code generator for embedded convex optimization

J Mattingley, Boyd S. CVXGEN
Optimization and Engineering 2012; 13(1):1–27. Copyright © 2012 John Wiley & Sons, Ltd. Int. J. Robust. Nonlinear Control • 2012
View 3 Excerpts
Highly Influenced

Discrete Stochastic Dynamic Programming

Puterman M. Markov Decision Processes
John Wiley & Sons, Inc.: New York, NY, USA, 1994. Copyright © 2012 John Wiley & Sons, Ltd. Int. J. Robust. Nonlinear Control • 2012
View 1 Excerpt

Performance bounds and suboptimal policies for multi-period investment

S Boyd, M Mueller, B ODonoghue, Y. Wang
Manuscript. Copyright © 2012 John Wiley & Sons, Ltd. Int. J. Robust. Nonlinear Control • 2012

Fast Evaluation of Quadratic Control-Lyapunov Policy

IEEE Transactions on Control Systems Technology • 2011
View 2 Excerpts

Imputing a convex objective function

2011 IEEE International Symposium on Intelligent Control • 2011
View 1 Excerpt

Min-max approximate dynamic programming

2011 IEEE International Symposium on Computer-Aided Control System Design (CACSD) • 2011
View 1 Excerpt

Similar Papers

Loading similar papers…