Related papers: Optimal inflow control penalizing undersupply in t…
We introduce a novel model based on the discrete optimal transport problem that incorporates congestion costs and replaces traditional constraints with weighted penalization terms. This approach better captures real-world scenarios…
In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues. Amongst the numerous problems addressed, the optimal execution of large orders is probably the one that has attracted the most…
This work studies optimal control problems of systems with uncertain, probabilistically distributed parameters to optimize average performance. Known as Riemann-Stieltjes, average, or ensemble optimal control, this kind of problem is…
Optimization models have been broadly used within side the energy industry as useful decision-making systems for scheduling and dispatching electric powered energy resources; this is applied in a system called unit commitment (UC). Unit…
The increasing amount of controllable generation and consumption in distribution grids poses a severe challenge in keeping voltage values within admissible ranges. Existing approaches have considered different optimal power flow…
Finding Bertram's optimal trading strategy for a pair of cointegrated assets following the Ornstein--Uhlenbeck price difference process can be formulated as an unconstrained convex optimization problem for maximization of expected profit…
This paper studies the problem of output agreement in networks of nonlinear dynamical systems under time-varying disturbances. Necessary and sufficient conditions for output agreement are derived for the class of incrementally passive…
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…
We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band system, a policy that induces a no-trading zone in the…
Designing a protocol to efficiently drive a stochastic system is an active field of research. Here we extend such control theory to an active Ornstein-Uhlenbeck particle (AOUP) in a bistable potential, driven by a harmonic trap. We find…
We study the optimal execution of market and limit orders with permanent and temporary price impacts as well as uncertainty in the filling of limit orders. Our continuous-time model incorporates a trade speed limiter and a trader director…
Scenario reduction algorithms can be an effective means to provide a tractable description of the uncertainty in optimal control problems. However, they might significantly compromise the performance of the controlled system. In this paper,…
Recent studies have demonstrated the potential of flexible loads in providing frequency response services. However, uncertainty and variability in various weather-related and end-use behavioral factors often affect the demand-side control…
The effects of model parameter uncertainty on traffic flow control problems have recently drawn research attention. While the uncertainty in fundamental diagram related parameters has been investigated in the past, few articles have focused…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
This paper deals with nonlinear mechanics of an elevator brake system subjected to uncertainties. A deterministic model that relates the braking force with uncertain parameters is deduced from mechanical equilibrium conditions. In order to…
This paper focuses on stochastic optimal control problems with constraints in law, which are rewritten as optimization (minimization) of probability measures problem on the canonical space. We introduce a penalized version of this type of…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
Congestion pricing has become an effective instrument for traffic demand management on road networks. This paper proposes an optimal control approach for congestion pricing for day-to-day timescale that incorporates demand uncertainty and…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…