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Optimization is becoming increasingly common in scientific and engineering domains. Oftentimes, these problems involve various levels of stochasticity or uncertainty in generating proposed solutions. Therefore, optimization in these…

Black-box optimization problems often require simultaneously optimizing different types of variables, such as continuous, integer, and categorical variables. Unlike integer variables, categorical variables do not necessarily have a…

Suboptimal model predictive control is a technique that can reduce the computational cost of model predictive control (MPC) by exploiting its robustness to incomplete optimization. Instead of solving the optimal control problem exactly,…

The problem of achieving a good trade-off in Stochastic Model Predictive Control between the competing goals of improving the average performance and reducing conservativeness, while still guaranteeing recursive feasibility and low…

We propose a novel Stochastic Model Predictive Control (MPC) for uncertain linear systems subject to probabilistic constraints. The proposed approach leverages offline learning to extract key features of affine disturbance feedback…

Many machine learning models require a training procedure based on running stochastic gradient descent. A key element for the efficiency of those algorithms is the choice of the learning rate schedule. While finding good learning rates…

In this paper we propose a constrained guaranteed cost robust model predictive controller (GCMPC) for uncertain discrete time systems. This controller was developed based on a quadratic cost functional and guarantee robustness with respect…

We propose a Model Predictive Control (MPC) with a single-step prediction horizon to approximate the solution of infinite horizon optimal control problems with the expected sum of convex stage costs for constrained linear uncertain systems.…

Control of non-condensing non-ideal-gas power cycles is challenging because their output power dynamics depend on complex system interactions, non-ideal-gas effects complicate turbomachinery behavior, and state constraints must be…

Input constrained Model predictive control (MPC) includes an optimization problem which should iteratively be solved at each time-instance. The well-known drawback of model predictive control is the computational cost of the optimization…

This paper presents a systematic method for the selection of the Model Predictive Control (MPC) stage cost. We match the MPC feedback law to a proportional-integral (PI) controller, which we efficiently tune by high-performance Monte Carlo…

Model Predictive Control (MPC) is the principal control technique used in industrial applications. Although it offers distinguishable qualities that make it ideal for industrial applications, it can be questioned its robustness regarding…

Automatic Machine Learning (Auto-ML) systems tackle the problem of automating the design of prediction models or pipelines for data science. In this paper, we present Lifelong Bayesian Optimization (LBO), an online, multitask Bayesian…

We study a budgeted hyper-parameter tuning problem, where we optimize the tuning result under a hard resource constraint. We propose to solve it as a sequential decision making problem, such that we can use the partial training progress of…

The recent increase in data availability and reliability has led to a surge in the development of learning-based model predictive control (MPC) frameworks for robot systems. Despite attaining substantial performance improvements over their…

This work develops a stochastic model predictive controller~(SMPC) for uncertain linear systems with additive Gaussian noise subject to state and control constraints. The proposed approach is based on the recently developed finite-horizon…

We consider active learning (AL) in an uncertain environment in which trade-off between multiple risk measures need to be considered. As an AL problem in such an uncertain environment, we study Mean-Variance Analysis in Bayesian…

This paper presents a new approach to solve linear and nonlinear model predictive control (MPC) problems that requires small memory footprint and throughput and is particularly suitable when the model and/or controller parameters change at…

A finite horizon optimal tracking problem is considered for linear dynamical systems subject to parametric uncertainties in the state-space matrices and exogenous disturbances. A suboptimal solution is proposed using a model predictive…

Bayesian optimization (BO) is a popular method for optimizing expensive-to-evaluate black-box functions. BO budgets are typically given in iterations, which implicitly assumes each evaluation has the same cost. In fact, in many BO…