Randomized methods based on new Monte Carlo schemes for control and optimization |
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Authors: | Email author" target="_blank">Boris?T?PolyakEmail author Elena?N?Gryazina |
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Institution: | 1.Institute of Control Sciences,Russian Academy of Sciences,Moscow,Russia |
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Abstract: | We address randomized methods for control and optimization based on generating points uniformly distributed in a set. For
control systems this sets are either stability domain in the space of feedback controllers, or quadratic stability domain,
or robust stability domain, or level set for a performance specification. By generating random points in the prescribed set
one can optimize some additional performance index. To implement such approach we exploit two modern Monte Carlo schemes for
generating points which are approximately uniformly distributed in a given convex set. Both methods use boundary oracle to
find an intersection of a ray and the set. The first method is Hit-and-Run, the second is sometimes called Shake-and-Bake.
We estimate the rate of convergence for such methods and demonstrate the link with the center of gravity method. Numerical
simulation results look very promising. |
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Keywords: | |
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