TY - JOUR
T1 - Dynamic programming and suboptimal control
T2 - A survey from ADP to MPC
AU - Bertsekas, Dimitri P.
N1 - Funding Information:
*Many thanks are due to Janey Yu for helpful comments. Research supported by NSF Grant ECS-0218328. **E-mail: dimitrib@mit.edu
PY - 2005
Y1 - 2005
N2 - We survey some recent research directions within the field of approximate dynamic programming, with a particular emphasis on rollout algorithms and model predictive control (MPC). We argue that while they are motivated by different concerns, these two methodologies are closely connected, and the mathematical essence of their desirable properties (cost improvement and stability, respectively) is couched on the central dynamic programming idea of policy iteration. In particular, among other things, we show that the most common MPC schemes can be viewed as rollout algorithms and are related to policy iteration methods. Furthermore, we embed rollout and MPC within a new unifying suboptimal control framework, based on a concept of restricted or constrained structure policies, which contains these schemes as special cases.
AB - We survey some recent research directions within the field of approximate dynamic programming, with a particular emphasis on rollout algorithms and model predictive control (MPC). We argue that while they are motivated by different concerns, these two methodologies are closely connected, and the mathematical essence of their desirable properties (cost improvement and stability, respectively) is couched on the central dynamic programming idea of policy iteration. In particular, among other things, we show that the most common MPC schemes can be viewed as rollout algorithms and are related to policy iteration methods. Furthermore, we embed rollout and MPC within a new unifying suboptimal control framework, based on a concept of restricted or constrained structure policies, which contains these schemes as special cases.
KW - Dynamic programming
KW - Model predictive control
KW - Rollout algorithm
KW - Stochastic optimal control
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U2 - 10.3166/ejc.11.310-334
DO - 10.3166/ejc.11.310-334
M3 - Article
AN - SCOPUS:33645410501
SN - 0947-3580
VL - 11
SP - 310
EP - 334
JO - European Journal of Control
JF - European Journal of Control
IS - 4-5
ER -