CIFASIS 20631
CENTRO INTERNACIONAL FRANCO ARGENTINO DE CIENCIAS DE LA INFORMACION Y DE SISTEMAS
Unidad Ejecutora - UE
congresos y reuniones científicas
Título:
Stochastic Descent vs Sample Average in Uncertain Minimax Control Problems
Autor/es:
P.A. LOTITO; L.S. ARAGONE; L.A. PARENTE; J. GIANATTI
Lugar:
Comodoro Rivadavia
Reunión:
Congreso; MACI; 2017
Institución organizadora:
ASAMACI
Resumen:
We propose a stochastic descent algorithm for solving uncertain minimax control problems. At each iterate, the scheme randomly draws a sample point from the underlying probability space, computes a feasible direction and performs an Armijo step in order to obtain the next iterate. On some simple examples, we compare its performance with a descent algorithm based on sample average approximations, obtaining promissory numerical results
