A hierarchy of policies for adaptive optimization

Abstract

In this paper, we propose a new tractable framework for dealing with linear dynamical systems affected by uncertainty, applicable to multistage robust optimization and stochastic programming. We introduce a hierarchy of near-optimal polynomial disturbance-feedback control policies, and show how these can be computed by solving a single semidefinite programming problem. The approach yields a hierarchy parameterized by a single variable (the degree of the polynomial policies), which controls the trade-off between the optimality gap and the computational requirements. We evaluate our framework in the context of three classical applications-two in inventory management, and one in robust regulation of an active suspension system-in which very strong numerical performance is exhibited, at relatively modest computational expense.