Related papers: Application of Progressive Hedging to Var Expansio…
We address the stochastic transmission expansion planning (STEP) problem under uncertainty in renewable generation capacity and demand. STEP's objective is to minimize total transmission investment and generation costs. To tackle the…
Progressive Hedging is a popular decomposition algorithm for solving multi-stage stochastic optimization problems. A computational bottleneck of this algorithm is that all scenario subproblems have to be solved at each iteration. In this…
The progressive hedging algorithm (PHA) is a cornerstone among algorithms for large-scale stochastic programming problems. However, its traditional implementation is hindered by some limitations, including the requirement to solve all…
The increasing number of gas-fired units has significantly intensified the coupling between power and gas networks. Traditionally, the nonlinearity and nonconvexity in gas flow equations, together with renewable-induced stochasticity,…
We investigate multi-stage demand uncertainty for the multi-item multi-echelon capacitated lot sizing problem with setup carry-over. Considering a multi-stage decision framework helps to quantify the benefits of being able to adapt…
Stochastic service network designs with uncertain demand represented by a set of scenarios can be modelled as a large-scale two-stage stochastic mixed-integer program (SMIP). The progressive hedging algorithm (PHA) is a decomposition method…
In this paper we analyze the effect of two modelling approaches for supply planning problems under uncertainty: two-stage stochastic programming (SP) and robust optimization (RO). The comparison between the two approaches is performed…
The paper develops a novel design optimization framework and associated computational techniques for staged deployment optimization of complex systems under operational uncertainties. It proposes a local scenario discretization method that…
This work addresses the problem of vehicle path planning in the presence of obstacles and uncertainties, which is a fundamental problem in robotics. While many path planning algorithms have been proposed for decades, many of them have dealt…
We present a new algorithm for probabilistic planning with no observability. Our algorithm, called Probabilistic-FF, extends the heuristic forward-search machinery of Conformant-FF to problems with probabilistic uncertainty about both the…
This paper proposes a stochastic optimal preparation and resource allocation method for upcoming extreme weather events in distribution systems, which can assist utilities to achieve faster and more efficient post-event restoration. With…
We present a new Progressive Hedging Algorithm to solve Stochastic Variational Inequalities in the formulation introduced by Rockafellar and Wets in 2017, allowing the generated subproblems to be approximately solved with an implementable…
Polynomial chaos based methods enable the efficient computation of output variability in the presence of input uncertainty in complex models. Consequently, they have been used extensively for propagating uncertainty through a wide variety…
Standard algorithms for finding the shortest path in a graph require that the cost of a path be additive in edge costs, and typically assume that costs are deterministic. We consider the problem of uncertain edge costs, with potential…
This paper exploits the decomposition structure of the large-scale hydrothermal generation expansion planning problem with an integrated modified Benders Decomposition and Progressive Hedging approach. We consider detailed and realistic…
Pumped storage hydro units (PSHU) are great sources of flexibility in power systems. This is especially valuable in modern systems with increasing shares of intermittent renewable resources. However, the flexibility from PSHUs, particularly…
When stochastic control problems do not possess separability and/or monotonicity, the dynamic programming pioneered by Bellman in 1950s fails to work as a time-decomposition solution method. Such cases have posted a great challenge to the…
For safe operation, a robot must be able to avoid collisions in uncertain environments. Existing approaches for motion planning under uncertainties often assume parametric obstacle representations and Gaussian uncertainty, which can be…
A Halpern-type relaxed inertial inexact progressive hedging algorithm (PHA) is proposed for solving multi-stage stochastic variational inequalities in general probability spaces. The subproblems in this algorithm are allowed to be…
This report presents three Moving Horizon Estimation (MHE) methods for discrete-time partitioned linear systems, i.e. systems decomposed into coupled subsystems with non-overlapping states. The MHE approach is used due to its capability of…