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math.OC2025
GPU-Accelerated SPOCK for Scenario-Based Risk-Averse Optimal Control Problems
Ruairi Moran, Pantelis Sopasakis
This paper presents a GPU-accelerated implementation of the SPOCK algorithm, a proximal method designed for solving scenario-based risk-averse optimal control problems. The propose…
math.OC2022
SPOCK: A proximal method for multistage risk-averse optimal control problems
Alexander Bodard, Ruairi Moran, Mathijs Schuurmans +2
Risk-averse optimal control problems have gained a lot of attention in the last decade, mostly due to their attractive mathematical properties and practical importance. They can be…