A max-plus based randomized algorithm for solving a class of HJB PDEs
Résumé
McEneaney introduced the curse of dimensionality
free method for the special class of infinite horizon optimal
control problems where the Hamiltonian is represented as
a maximum of quadratic affine functions. This method is
featured by its cubic complexity with respect to the state space
dimension, but the number of basis functions is multiplied by
the number of switches at each iteration, referred to as the
’curse of complexity’. In previous works, an SDP-based pruning
technique was incorporated into the method in order to reduce
the curse of complexity. Its efficiency was proved on many
examples.
In this paper we develop a new max-plus based randomized
algorithm to solve the same class of infinite horizon optimal
control problems. The major difference between the new
algorithm and the previous SDP-based curse of dimensionality
free method is that, instead of adding a large number of
functions and then pruning the less useful ones, the new
algorithm finds in cheap computation time (linear in the current
number of basis functions), by a randomized procedure, useful
quadratic functions and adds only those functions to the set
of basis functions. Experimental results show that the max-
plus randomized algorithm can reach the same precision order
obtained by the SDP-based method with a speedup varying
from 10 up to 100 and that the maximal precision order
attainable by the new algorithm is much better than what can
be done by the SDP-based algorithm in reasonable computation
time. Besides, with the randomized algorithm we are now able
to tackle switched problems with more number of switches,
which will allow us to extend the algorithm to more general
classes of optimal control problems.