Moment-SOS hierarchy and exit time of stochastic processes

Didier Henrion (1, 2) , Mauricio Junca (3) , Mauricio Velasco (3)

1 LAAS-MAC - Équipe Méthodes et Algorithmes en Commande
2 FEL CTU - Faculty of Electrical Engineering [Prague]
3 UNIANDES - Departamento de Matematicas [Univ de los Andes Colombia]

The moment sum of squares (moment-SOS) hierarchy produces sequences of upper and lower bounds on functionals of the exit time solution of a polynomial stochastic differential equation with polynomial constraints, at the price of solving semidefinite optimization problems of increasing size. In this note we use standard results from elliptic partial differential equation analysis to prove convergence of the bounds produced by the hierarchy. We also use elementary convex analysis to describe a super- and sub-solution interpretation dual to a linear formulation on occupation measures. The practical relevance of the hierarchy is illustrated with numerical examples.

Domains: Optimization and Control [math.OC]

Didier Henrion, Mauricio Junca, Mauricio Velasco. Moment-SOS hierarchy and exit time of stochastic processes. SIAM Conference on Optimization, Jul 2021, Spokane, Washington, United States. ⟨hal-03110452v1⟩