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math.OC2019
On the Convergence of the Iterative Linear Exponential Quadratic Gaussian Algorithm to Stationary Points
Vincent Roulet, Maryam Fazel, Siddhartha Srinivasa +1
A classical method for risk-sensitive nonlinear control is the iterative linear exponential quadratic Gaussian algorithm. We present its convergence analysis from a first-order opt…
math.OC2019
Iterative Linearized Control: Stable Algorithms and Complexity Guarantees
Vincent Roulet, Siddhartha Srinivasa, Dmitriy Drusvyatskiy +1
We examine popular gradient-based algorithms for nonlinear control in the light of the modern complexity analysis of first-order optimization algorithms. The examination reveals th…