Related papers: Multi-Period Liability Clearing via Convex Optimal…
The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…
This paper establishes a unified framework connecting local controllability, necessary conditions for optimality, and attainability in free-time optimal control problems. The central object of our investigation is the $\Lambda$-set, which…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
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…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
We revisit the optimal control problem with maximum cost with the objective to provide different equivalent reformulations suitable to numerical methods. We propose two reformulations in terms of extended Mayer problems with constraint, and…
In this paper, we address two minimal controllability problems, where the goal is to determine a minimal subset of state variables in a linear time-invariant system to be actuated to ensure controllability under additional constraints.…
This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…
Discrete Lossless Convexification (DLCvx) formulates a convex relaxation for a specific class of discrete-time non-convex optimal control problems. It establishes sufficient conditions under which the solution of the relaxed problem…
Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…
In this presentation, we will develop a short overview of main trends of optimization in systems and control, and from there outline some new perspectives emerging today. More specifically, we will focus on the current situation, where it…
Model Predictive Control (MPC) is often tuned by trial and error. When a baseline linear controller exists that is already well tuned in the absence of constraints and MPC is introduced to enforce them, one would like to avoid altering the…
We consider convex constrained optimization problems that also include a cardinality constraint. In general, optimization problems with cardinality constraints are difficult mathematical programs which are usually solved by global…
This paper studies the scheduling of a large population of non-preemptive flexible electric loads, each of which has a flexible starting time but once started will follow a fixed load shape until completion. We first formulate the…
The multiple spacecraft guidance problem for proximity flight in libration point orbit is considered. A nonlinear optimal control problem with continuous-time path constraints enforcing minimum separation between each spacecraft is…
We consider the problem of computing optimal linear control policies for linear systems in finite-horizon. The states and the inputs are required to remain inside pre-specified safety sets at all times despite unknown disturbances. In this…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explore its properties. In line with current regulatory…
This paper presents a convex optimization-based method for finding the globally optimal solutions of a class of mixed-integer non-convex optimal control problems. We consider problems that are non-convex in the input norm, which is a…
This document introduces a strategy to solve linear optimization problems. The strategy is based on the bounding condition each constraint produces on each one of the problem's dimension. The solution of a linear optimization problem is…