6437

Автор(ы): 

Автор(ов): 

2

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

Randomized Methods Based on New Monte-Carlo Schemes for Control and Optimization

ISBN/ISSN: 

0254-5330

Наименование источника: 

  • Annals of Operations Research

Город: 

  • -

Издательство: 

  • Springer

Год издания: 

2009

Страницы: 

343-356 http://link.springer.com/article/10.1007%2Fs10479-009-0585-5
Аннотация
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.

Библиографическая ссылка: 

Поляк Б.Т., Грязина Е.Н. Randomized Methods Based on New Monte-Carlo Schemes for Control and Optimization // Annals of Operations Research. 2009. С. 343-356 http://link.springer.com/article/10.1007%2Fs10479-009-0585-5.