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math.OC2026
Convergence rates for ensemble-based solutions to optimal control of uncertain dynamical systems
Olena Melnikov, Johannes Milz
We consider optimal control problems involving nonlinear ordinary differential equations with uncertain inputs. Using the sample average approximation, we obtain optimal control pr…
math.OC2024
Randomized quasi-Monte Carlo methods for risk-averse stochastic optimization
Olena Melnikov, Johannes Milz
We establish epigraphical and uniform laws of large numbers for sample-based approximations of law invariant risk functionals. These sample-based approximation schemes include Mont…