arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2007.10501math.OC
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求解机会约束最优控制问题的一种热启动方法

A Warm Start Method for Solving Chance Constrained Optimal Control Problems

Rachel E. Kiel, Mrinal Kumar, Anil V. Rao

摘要:

提出了一种有效求解复杂机会约束最优控制问题的热启动方法。热启动方法解决了机会约束最优控制问题的计算挑战,使用有偏的核密度估计和Legendre-Gauss-Radau配置与$hp$自适应网格细化方法。为了解决计算的挑战,热启动方法提高了机会约束最优控制问题的起点,以及通过网格细化迭代循环的效率。改进是通过调整核密度估计器的参数,以及实现作为解决方案过程的一部分的内核开关。此外,偏置核密度估计器的样本的样本个数被设置为通过一系列网格细化迭代而递增。因此,热启动方法是调整参数、内核切换和样本量增量增加的组合。这种热启动方法成功地应用于解决两个具有挑战性的机会约束最优控制问题的计算效率的方式,使用有偏核密度估计和Legendre-Gauss-Radau配置。

英文摘要:

A warm start method is developed for efficiently solving complex chance constrained optimal control problems. The warm start method addresses the computational challenges of solving chance constrained optimal control problems using biased kernel density estimators and Legendre-Gauss-Radau collocation with an $hp$ adaptive mesh refinement method. To address the computational challenges, the warm start method improves both the starting point for the chance constrained optimal control problem, as well as the efficiency of cycling through mesh refinement iterations. The improvement is accomplished by tuning a parameter of the kernel density estimator, as well as implementing a kernel switch as part of the solution process. Additionally, the number of samples for the biased kernel density estimator is set to incrementally increase through a series of mesh refinement iterations. Thus, the warm start method is a combination of tuning a parameter, a kernel switch, and an incremental increase in sample size. This warm start method is successfully applied to solve two challenging chance constrained optimal control problems in a computationally efficient manner using biased kernel density estimators and Legendre-Gauss-Radau collocation.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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