Related papers: Combined Stochastic Optimization of Frequency Cont…
The integration of renewable energy into the power grid is often hindered by its fragmented infrastructure, leading to inefficient utilization due to the variability of energy production and its reliance on weather conditions. Battery…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our approach is applicable to various specifications of…
This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Brownian motion and a running maximum process, indicating its…
We examine a multi-stage stochastic optimization problem characterized by stagewise-independent, decision-dependent noises with strict constraints. The problem assumes convexity in that, following a specific relaxation, it transforms into a…
We propose a data-driven method to solve a stochastic optimal power flow (OPF) problem based on limited information about forecast error distributions. The objective is to determine power schedules for controllable devices in a power…
In this paper, we investigate how to achieve the unpredictability against malicious inferences for linear systems. The key idea is to add stochastic control inputs, named as unpredictable control, to make the outputs irregular. The future…
While Robust Model Predictive Control considers the worst-case system uncertainty, Stochastic Model Predictive Control, using chance constraints, provides less conservative solutions by allowing a certain constraint violation probability…
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 introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or…
Evolving power systems with increasing levels of stochasticity call for a need to solve optimal power flow problems with large quantities of random variables. Weather forecasts, electricity prices, and shifting load patterns introduce…
This work studies centralized radio resource management in metropolitan area networks with a very large number of access points and user devices. A central controller collects time-averaged traffic and channel conditions from all access…
This paper presents a centralized recursive optimal scheduling method for a battery system that consists of parallel connected battery modules with different open circuit voltages and battery impedance characteristics. Examples of such a…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
Quantum batteries utilize nonclassical resources to achieve charging speed and energy storage performances that surpass classical thermodynamic limits. However, the practical realization of quantum batteries is often constrained by the…
In this paper the connection between stochastic optimal control and reinforcement learning is investigated. Our main motivation is to apply importance sampling to sampling rare events which can be reformulated as an optimal control problem.…
This article proposes an improved trajectory optimization approach for stochastic optimal control of dynamical systems affected by measurement noise by combining optimal control with maximum likelihood techniques to improve the reduction of…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…