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math.OC2020★ 1 cited
Constrained, Global Optimization of Functions with Lipschitz Continuous Gradients
Abraham P. Vinod, Arie Israel, Ufuk Topcu
We present two first-order, sequential optimization algorithms to solve constrained optimization problems. We consider a black-box setting with a priori unknown, non-convex objecti…
math.OC2020★ 2 cited
Convexified Open-Loop Stochastic Optimal Control for Linear Non-Gaussian Systems
Vignesh Sivaramakrishnan, Abraham P. Vinod, Meeko M. K. Oishi
We consider stochastic optimal control of linear dynamical systems with additive non-Gaussian disturbance. We propose a novel, sampling-free approach, based on Fourier transformati…