A hierarchy of policies for adaptive optimization
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 programming. We introduce a hierarchy of near-optimal polynomial disturbance-feedback control policies, and show how thes...
Main Authors: | Iancu, Dan Andrei, Parrilo, Pablo A., Bertsimas, Dimitris J |
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Other Authors: | Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science |
Format: | Article |
Language: | en_US |
Published: |
Institute of Electrical and Electronics Engineers (IEEE)
2012
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Online Access: | http://hdl.handle.net/1721.1/74604 https://orcid.org/0000-0002-1985-1003 https://orcid.org/0000-0003-1132-8477 |
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