TY - GEN
T1 - Variance-reduced model predictive control of Markov jump processes
AU - Maginnis, Peter A.
AU - West, Matthew
AU - Dullerud, Geir E.
N1 - Publisher Copyright:
© 2016 American Automatic Control Council (AACC).
PY - 2016/7/28
Y1 - 2016/7/28
N2 - We present an algorithm for variance-reduced Monte Carlo estimates of the expected cost-to-go used in the stochastic model predictive control of Markov jump processes. Specifically, we extend previous work on antithetic stochastic simulation of Markov chains with a finite number of reaction classes to the approximate computation of an expected cost function of a controlled process. In the presence of strict constraints on number of available Monte Carlo samples, we demonstrate significant reduction in the number of Monte Carlo simulations required to achieve a particular cost, including a factor of two reduction in the small resource limit, for a simplified, nonlinear chemical reaction model.
AB - We present an algorithm for variance-reduced Monte Carlo estimates of the expected cost-to-go used in the stochastic model predictive control of Markov jump processes. Specifically, we extend previous work on antithetic stochastic simulation of Markov chains with a finite number of reaction classes to the approximate computation of an expected cost function of a controlled process. In the presence of strict constraints on number of available Monte Carlo samples, we demonstrate significant reduction in the number of Monte Carlo simulations required to achieve a particular cost, including a factor of two reduction in the small resource limit, for a simplified, nonlinear chemical reaction model.
UR - http://www.scopus.com/inward/record.url?scp=84992125781&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84992125781&partnerID=8YFLogxK
U2 - 10.1109/ACC.2016.7526512
DO - 10.1109/ACC.2016.7526512
M3 - Conference contribution
AN - SCOPUS:84992125781
T3 - Proceedings of the American Control Conference
SP - 5376
EP - 5380
BT - 2016 American Control Conference, ACC 2016
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2016 American Control Conference, ACC 2016
Y2 - 6 July 2016 through 8 July 2016
ER -