From Optimization to Control: An Algorithmic Perspective

Abstract: In this talk, we draw an explicit analogy across four problem classes in optimization and control with a unified solution characterization. This viewpoint allows for a systematic transformation of algorithms from one domain to the other. With this in mind, we exploit two linear structural constraints specific to control problems with finite state-action pairs to approximate the Hessian in a second-order-type algorithm from optimization. This leads to novel first-order control algorithms with the same computational complexity as (model-based) value iteration and (model-free) Q-learning, while they exhibit an empirical convergence behavior similar to (model-based) policy iteration and (model-free) Zap Q-learning with very low sensitivity to the discount factor. If time permits, we also discuss how an interesting analogy between the convex conjugate operator and the Fourier transform can reduce the typical time complexity of the dynamic programming operation from O(XU) to O(X + U) where X and U denote the size of the discrete state and input spaces, <a href="http://respectively.

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Speaker(s): Peyman Mohajerin Esfahani,

Room: SF B650, Bldg: MIE, University of Toronto, 172 St. George St., Toronto, Ontario, Canada, M5R 0A3