Related papers: Discrete Approximation of Two-Stage Stochastic and…
In this work (Part I), we study three time-discretization procedures of the Dynamical Low-Rank Approximation (DLRA) of high-dimensional stochastic differential equations (SDEs). Specifically, we consider the Dynamically Orthogonal (DO)…
This paper presents a distributed stochastic model predictive control (SMPC) approach for large-scale linear systems with private and common uncertainties in a plug-and-play framework. Using the so-called scenario approach, the centralized…
Model Predictive Control (MPC) is widely recognized for its ability to explicitly handle system constraints. In practice, system states are often affected by disturbances with unknown distributions. While robust MPC guarantees constraint…
In this paper we investigate an adaptive discretization strategy for ill-posed linear prob- lems combined with a regularization from a class of semiiterative methods. We show that such a discretization approach in combination with a…
This paper investigates the finite-horizon distributionally robust mixed-integer control (DRMIC) of uncertain linear systems. However, deriving an optimal causal feedback control policy to this DRMIC problem is computationally formidable…
We develop a decomposition algorithm for distributionally-robust two-stage stochastic mixed-integer convex cone programs, and its important special case of distributionally-robust two-stage stochastic mixed-integer second order cone…
Stochastic collocation methods for approximating the solution of partial differential equations with random input data (e.g., coefficients and forcing terms) suffer from the curse of dimensionality whereby increases in the stochastic…
The Double Linear Policy (DLP) framework guarantees a Robust Positive Expectation (RPE) under optimized constant-weight designs or admissible prespecified time-varying policies. However, the sequential optimization of these time-varying…
In this paper, we design, analyze, and implement a variant of the two-loop L-shaped algorithms for solving two-stage stochastic programming problems that arise from important application areas including revenue management and power systems.…
In this paper, we present a robust distributed model predictive control (DMPC) scheme for dynamically decoupled nonlinear systems which are subject to state constraints, coupled state constraints and input constraints. In the proposed…
Optimal control for switch-based dynamical systems is a challenging problem in the process control literature. In this study, we model these systems as hybrid dynamical systems with finite number of unknown switching points and reformulate…
The paper describes a sparse direct solver for the linear systems that arise from the discretization of an elliptic PDE on a two dimensional domain. The scheme decomposes the domain into thin subdomains, or ``slabs'' and uses a two-level…
A multiscale numerical method is proposed for the solution of semi-linear elliptic stochastic partial differential equations with localized uncertainties and non-linearities, the uncertainties being modeled by a set of random parameters. It…
This paper introduces a framework for Chance-Constrained Optimization with Complex Variables, addressing complex linear programming for both individual and joint probabilistic constraints in the complex domain. We first analyze the 3CP…
Stochastic sampling methods are arguably the most direct and least intrusive means of incorporating parametric uncertainty into numerical simulations of partial differential equations with random inputs. However, to achieve an overall error…
The paper presents high-order accurate, energy-, and entropy-stable discretizations constructed from summation-by-parts (SBP) operators. Notably, the discretizations assemble global SBP operators and use continuous solutions, unlike…
This paper proposes a control algorithm for stable implementation of asynchronous parallel quadratic programming (PQP) through dual decomposition technique. In general, distributed and parallel optimization requires synchronization of data…
This work proposes a scheme for significantly reducing the computational complexity of discretized problems involving the non-smooth forward propagation of uncertainty by combining the adaptive hierarchical sparse grid stochastic…
We present a robust Distributed and Localized Model Predictive Control (rDLMPC) framework for large-scale structured linear systems. The proposed algorithm uses the System Level Synthesis to provide a distributed closed-loop model…
In this paper, we study a two-stage stochastic version of the assignment game, which is a fundamental cooperative game. Given an initial setting, the set of players may change in the second stage according to some probability distribution,…