A Duality Framework for Stochastic Optimal Control of Complex Systems

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 yiel...

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Bibliographic Details
Published in:IEEE transactions on automatic control 2016-10, Vol.61 (10), p.2756-2765
Main Author: Malikopoulos, Andreas A.
Format: Article
Language:English
Subjects:
Aerospace electronics
Complex Systems
Government
HEV optimization
Markov processes
MATHEMATICS AND COMPUTING
Multiobjective Optimization
Optimal control
Optimization
Pareto control policy
Pareto Efficiency
Random variables
Stochastic Optimal Control
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Summary: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 with constraints consistent to 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.
ISSN:0018-9286
1558-2523
DOI:10.1109/TAC.2015.2504518