A duality framework for stochastic optimal control of complex systems

Malikopoulos, Andreas A.

doi:10.1109/TAC.2015.2504518

Title: A duality framework for stochastic optimal control of complex systems

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Abstract

In this study, we address the problem of minimizing the long-run expected average cost of a complex system consisting of interactive subsystems. We formulate a multiobjective optimization problem of the one-stage expected costs of the subsystems and provide a duality framework to prove that the control policy yielding the Pareto optimal solution minimizes the average cost criterion of the system. We provide the conditions of existence and a geometric interpretation of the solution. For practical situations having constraints consistent with those studied here, our results imply that the Pareto control policy may be of value when we seek to derive online the optimal control policy in complex systems.

Authors:

Malikopoulos, Andreas A. ^[1]

Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States)

Publication Date:: Fri Jan 01 00:00:00 EST 2016

Research Org.:: Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States). National Transportation Research Center (NTRC)

Sponsoring Org.:: USDOE

OSTI Identifier:: 1224740

Grant/Contract Number:: AC05-00OR22725

Resource Type:: Accepted Manuscript

Journal Name:: IEEE Transactions on Automatic Control

Additional Journal Information:: Journal Volume: 1; Journal Issue: 1; Journal ID: ISSN 0018-9286

Country of Publication:: United States

Language:: English

Subject:: 97 MATHEMATICS AND COMPUTING; Complex Systems; Stochastic Optimal Control; Multiobjective Optimization; Pareto Efficiency; HEV optimization

Citation Formats


                    Malikopoulos, Andreas A. A duality framework for stochastic optimal control of complex systems.  United States: N. p., 2016. 
Web.  doi:10.1109/TAC.2015.2504518.

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                    Malikopoulos, Andreas A. A duality framework for stochastic optimal control of complex systems.  United States.  https://doi.org/10.1109/TAC.2015.2504518

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                    Malikopoulos, Andreas A. Fri .  
"A duality framework for stochastic optimal control of complex systems".  United States.  https://doi.org/10.1109/TAC.2015.2504518.  https://www.osti.gov/servlets/purl/1224740.

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@article{osti_1224740,

  title        = {A duality framework for stochastic optimal control of complex systems},

  author       = {Malikopoulos, Andreas A.},

  abstractNote = {In this study, we address the problem of minimizing the long-run expected average cost of a complex system consisting of interactive subsystems. We formulate a multiobjective optimization problem of the one-stage expected costs of the subsystems and provide a duality framework to prove that the control policy yielding the Pareto optimal solution minimizes the average cost criterion of the system. We provide the conditions of existence and a geometric interpretation of the solution. For practical situations having constraints consistent with those studied here, our results imply that the Pareto control policy may be of value when we seek to derive online the optimal control policy in complex systems.},

  doi          = {10.1109/TAC.2015.2504518},

  journal      = {IEEE Transactions on Automatic Control},

  number       = 1,

  volume       = 1,

  place        = {United States},

  year         = {Fri Jan 01 00:00:00 EST 2016},

  month        = {Fri Jan 01 00:00:00 EST 2016}

}

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