Related papers: Pathwise Optimization for Merchant Energy Producti…
This paper presents a nonlinear-model based hybrid optimal control technique to compute a suboptimal power-split strategy for power/energy management in a parallel hybrid electric vehicle (PHEV). The power-split strategy is obtained as…
We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state…
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson…
This paper deals with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of epsilon-optimal strategies. The construction of such strategies is explicit and only…
We consider qualitative strategy synthesis for the formalism called consumption Markov decision processes. This formalism can model dynamics of an agents that operates under resource constraints in a stochastic environment. The presented…
Autonomous vehicles (AVs) present a unique opportunity to improve the sustainability of transportation systems by adopting eco-driving strategies that reduce energy consumption and emissions. This paper introduces a novel surrogate model…
There is much interest in using partially observable Markov decision processes (POMDPs) as a formal model for planning in stochastic domains. This paper is concerned with finding optimal policies for POMDPs. We propose several improvements…
This work introduces the category of Power System Transition Planning optimization problem. It aims to shift power systems to emissions-free networks efficiently. Unlike comparable work, the framework presented here broadly applies to the…
We present an alternative view for the study of optimal control of partially observed Markov Decision Processes (POMDPs). We first revisit the traditional (and by now standard) separated-design method of reducing the problem to fully…
The optimal control of sustainable energy supply systems, including renewable energies and energy storage, takes a central role in the decarbonization of industrial systems. However, the use of fluctuating renewable energies leads to…
We consider the problem of computing the value and an optimal strategy for minimizing the expected termination time in one-counter Markov decision processes. Since the value may be irrational and an optimal strategy may be rather…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a…
Markov chain Monte Carlo (MCMC) sampling is an important and commonly used tool for the analysis of hierarchical models. Nevertheless, practitioners generally have two options for MCMC: utilize existing software that generates a black-box…
Prosumer operators are dealing with extensive challenges to participate in short-term electricity markets while taking uncertainties into account. Challenges such as variation in demand, solar energy, wind power, and electricity prices as…
This work explores an extension of machine learning-optimized piecewise polynomial approximation by incorporating energy optimization as an additional objective. Traditional closed-form solutions enable continuity and approximation targets…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We introduce a new dynamic approach for the numerical pricing of…
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…
The multi-period dynamics of energy storage (ES), intermittent renewable generation and uncontrollable power loads, make the optimization of power system operation (PSO) challenging. A multi-period optimal PSO under uncertainty is…