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Many optimization problems incorporate uncertainty affecting their parameters and thus their objective functions and constraints. As an example, in chance-constrained optimization the constraints need to be satisfied with a certain…
For a sequence of dynamic optimization problems, we aim at discussing a notion of consistency over time. This notion can be informally introduced as follows. At the very first time step $t_0$, the decision maker formulates an optimization…
In this paper we study a mathematical model of one-dimensional swimmers performing a planar motion while fully immersed in a viscous fluid. The swimmers are assumed to be of small size, and all inertial effects are neglected. Hydrodynamic…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
In this paper, we study an optimal control problem for a cascade of hydroelectric power plants with reversible turbines and uncontrolled spillways. The system dynamics are governed by a linear control model subject to path constraints. The…
We present a method of exploiting symmetries of discrete-time optimal control problems to reduce the dimensionality of dynamic programming iterations. The results are derived for systems with continuous state variables, and can be applied…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
Functions that are not differentiable in the classical sense have become a central tool in modern mathematical models for imaging, inverse problems, machine learning, and optimal control of differential equations. These models are…
Information processing machines at the nanoscales are unavoidably affected by thermal fluctuations. Efficient design requires understanding how nanomachines can operate at minimal energy dissipation. In this letter we focus on mechanical…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
We suggest a global perspective on dynamic network flow problems that takes advantage of the similarities to port-Hamiltonian dynamics. Dynamic minimum cost flow problems are formulated as open-loop optimal control problems for general…
Due to uncertainties and the complicated intrinsic dynamics of power systems, it is difficult to predict the cascading failure paths once the cascades occur. This makes it challenging to achieve the effective power system protection against…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…
This paper derives recursion equations for a robust smoothing problem for a class of nonlinear systems with uncertainties in modeling and exogenous noise sources. The systems considered operate in discrete-time and the uncertainties are…
An optimal control problem for the linear wave equation with control cost chosen as the BV semi-norm in time is analyzed. This formulation enhances piecewise constant optimal controls and penalizes the number of jumps. Existence of optimal…
Model predictive control (MPC) has emerged as an effective strategy for water distribution systems (WDSs) management. However, it is hampered by the computational burden for large-scale WDSs due to the combinatorial growth of possible…
This paper presents a quadratic approximation for the optimal power flow in power distributions systems. The proposed approach is based on a linearized load flow which is valid for power distribution systems including three-phase unbalanced…
The paper is devoted to the study of a new class of optimal control problems for nonsmooth dynamical systems governed by nonconvex discontinuous differential inclusions of the sweeping type with involving variable time into optimization. We…
An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…