IEEE - Institute of Electrical and Electronics Engineers, Inc. - Stochastic gradient methods for stochastic model predictive control

2016 European Control Conference (ECC)

Author(s): Andreas Themelis ; Silvia Villa ; Panagiotis Patrinos ; Alberto Bemporad
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 June 2016
Conference Location: Aalborg, Denmark
Conference Date: 29 June 2016
Page(s): 154 - 159
ISBN (Electronic): 978-1-5090-2591-6
ISBN (USB): 978-1-5090-2590-9
DOI: 10.1109/ECC.2016.7810279
Regular:

We introduce a new stochastic gradient algorithm, SAAGA, and investigate its employment for solving Stochastic MPC problems and multi-stage stochastic optimization programs in general. The method... View More

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