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Unified Optimality Conditions for Stochastic Optimal Control in the Rough Path and Itô Frameworks
Thomas Lew
Stochastic differential equations (SDEs) can be studied via Itô calculus and rough path theory. For stochastic optimal control, these two frameworks give distinct Pontryagin Maximu…
Solving Quadratic Programs with Slack Variables via ADMM without Increasing the Problem Size
Thomas Lew, Marcus Greiff, John Subosits +1
Proximal methods such as the Alternating Direction Method of Multipliers (ADMM) are effective at solving constrained quadratic programs (QPs). To tackle infeasible QPs, slack varia…
Differentiable Model Predictive Control on the GPU
Emre Adabag, Marcus Greiff, John Subosits +1
Differentiable model predictive control (MPC) offers a powerful framework for combining learning and control. However, its adoption has been limited by the inherently sequential na…
Rough Stochastic Pontryagin Maximum Principle and an Indirect Shooting Method
Thomas Lew
We derive first-order Pontryagin optimality conditions for stochastic optimal control with deterministic controls for systems modeled by rough differential equations (RDE) driven b…