Randomized time-splitting in linear-quadratic optimal control

Randomized time-splitting in linear-quadratic optimal control

Randomized time-splitting in linear-quadratic optimal control By Daniël Veldman   Introduction Solving an optimal control problem for a large-scale dynamical system can be computationally demanding. This problem appears in numerous applications. One example is Model Predictive Control (MPC), which requires the solution of several optimal control problems on a receding time horizon [5, 7]. Another example is the training of…