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Many relevant problems in the area of systems and control, such as controller synthesis, observer design and model reduction, can be viewed as optimization problems involving dynamical systems: for instance, maximizing performance in the…
The paper describes a receding horizon control design framework for continuous-time stochastic nonlinear systems subject to probabilistic state constraints. The intention is to derive solutions that are implementable in real-time on…
We are interested in optimally controlling a discrete time dynamical system that can be influenced by exogenous uncertainties. This is generally called a Stochas-tic Optimal Control (SOC) problem and the Dynamic Programming (DP) principle…
We are interested in optimally driving a dynamical system that can be influenced by exogenous noises. This is generally called a Stochastic Optimal Control (SOC) problem and the Dynamic Programming (DP) principle is the natural way of…
We present an algorithm, based on the Differential Dynamic Programming framework, to handle trajectory optimization problems in which the horizon is determined online rather than fixed a priori. This algorithm exhibits exact one-step…
We present an actor-critic-type reinforcement learning algorithm for solving the problem of hedging a portfolio of financial instruments such as securities and over-the-counter derivatives using purely historic data. The key characteristics…
A novel robust nonlinear model predictive control strategy is proposed for systems with nonlinear dynamics and convex state and control constraints. Using a sequential convex approximation approach and a difference of convex functions…
Model predictive control is an advanced control approach for multivariable systems with constraints, which is reliant on an accurate dynamic model. Most real dynamic models are however affected by uncertainties, which can lead to…
The solution to a stochastic optimal control problem can be determined by computing the value function from a discretization of the associated Hamilton-Jacobi-Bellman equation. Alternatively, the problem can be reformulated in terms of a…
This study develops a scalable co-optimization strategy for the joint bidding of cascaded hydropower, wind, and solar energy units, treated as a unified entity in the day-ahead market. Although hydropower flexibility can manage the…
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dynamic programming approach fails. We…
Many practical applications of control require that constraints on the inputs and states of the system be respected, while optimizing some performance criterion. In the presence of model uncertainties or disturbances, for many control…
In this paper, we consider the problem of stochastic optimization, where the objective function is in terms of the expectation of a (possibly non-convex) cost function that is parametrized by a random variable. While the convergence speed…
In this paper we present a new algorithm for the solution of Hamilton-Jacobi-Bellman equations related to optimal control problems. The key idea is to divide the domain of computation into subdomains which are shaped by the optimal dynamics…
This paper applies a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where drift and diffusion terms in the dynamics may depend on both the state and control. Based on…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
In this paper we consider large-scale smooth optimization problems with multiple linear coupled constraints. Due to the non-separability of the constraints, arbitrary random sketching would not be guaranteed to work. Thus, we first…
The classical Dynamic Programming (DP) approach to optimal control problems is based on the characterization of the value function as the unique viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equation. The DP scheme for the numerical…
Stochastic processing networks (SPNs) have broad applications in healthcare, transportation, and communication networks. The control of SPN is to dynamically assign servers in batches under uncertainty to optimize long-run performance. This…
We consider the problem of optimal control for partially observed dynamical systems. Despite its prevalence in practical applications, there are still very few algorithms available, which take uncertainties in the current state estimates…