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math.OC2017
Convex Relaxations for Nonlinear Stochastic Optimal Control Problems
Yuanxun Shao, Dillard Robertson, Joseph Kirk Scott
This article presents a new method for computing guaranteed convex and concave relaxations of nonlinear stochastic optimal control problems with final-time expected-value cost func…
math.OC2017
Convex Relaxations for Global Optimization Under Uncertainty Described by Continuous Random Variables
Yuanxun Shao, Joseph Kirk Scott
This article considers nonconvex global optimization problems subject to uncertainties described by continuous random variables. Such problems arise in chemical process design, ren…