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dc.contributor.authorRoyset, Johannes O.
dc.contributor.authorPhelps, Chris
dc.contributor.authorGong, Qi
dc.dateDecember 2013
dc.date.accessioned2016-05-18T20:51:46Z
dc.date.available2016-05-18T20:51:46Z
dc.date.issued2013-12
dc.identifier.citationC. Phelps, J.O. Royset, and Q. Gong, 2013, "Sample average approximations in optimal control of uncertain systems," in Proceedings of the 51st IEEE Conference on Decision and Control (CDC 2013), Florence, Italy.en_US
dc.identifier.urihttp://hdl.handle.net/10945/48696
dc.description.abstractThis paper focuses on an optimal control problem in which the objective is to minimize the expectation of a cost functional with stochastic parameters. The inclusion of the stochastic parameters in the objective raises new theoretical and computational challenges not present in a standard nonlinear optimal control problem. In this paper, we provide a numerical framework for the solution of this uncertain optimal control problem by taking a sample average approximation approach. An independent random sample is taken from the parameter space, and the expectation is approximated by the sample average. The result is a family of standard nonlinear optimal control problems which can be solved using existing techniques. We provide an optimality function for both the uncertain optimal control problem and its approximation, and show that the approximation based on the sample average approach is consistent in the sense of Polak. We illustrate the approach with a numerical example arising in optimal search for a moving target.en_US
dc.description.sponsorshipOffice of Naval Research grant N0001412WX21229en_US
dc.format.extent8 p.en_US
dc.publisherIEEEen_US
dc.rightsThis publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.en_US
dc.titleSample Average Approximations in Optimal Control of Uncertain Systemsen_US
dc.typeConference Paperen_US
dc.contributor.corporateNaval Postgraduate School (U.S.)en_US
dc.contributor.departmentOperations Research (OR)en_US
dc.description.funderOffice of Naval Research grant N0001412WX21229en_US


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