Related papers: Exact quantization of multistage stochastic linear…
It is well-known that the controllability of finite-dimensional nonlinear systems can be established by showing the controllability of the linearized system. However, this classical result does not generalize to infinite-dimensional…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
This article considers stochastic algorithms for efficiently solving a class of large scale non-linear least squares (NLS) problems which frequently arise in applications. We propose eight variants of a practical randomized algorithm where…
We study the problem of determining whether a given temporal specification can be implemented by a symmetric system, i.e., a system composed from identical components. Symmetry is an important goal in the design of distributed systems,…
This note uses the Total Least-Squares (TLS) line-fitting problem as a canvas to explore some modern optimization tools. The contribution is meant to be tutorial in nature. The TLS problem has a lot of mathematical similarities to important…
We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous action and state spaces. We extend policy graphs to include…
We present a set of integer programs (IPs) for the Steiner tree problem with the property that the best solution obtained by solving all, provides an optimal Steiner tree. Each IP is polynomial in the size of the underlying graph and our…
Solving (mixed) integer linear programs, (M)ILPs for short, is a fundamental optimization task. While hard in general, recent years have brought about vast progress for solving structurally restricted, (non-mixed) ILPs: $n$-fold, tree-fold,…
The multi-level Monte Carlo method proposed by M. Giles (2008) approximates the expectation of some functionals applied to a stochastic process with optimal order of convergence for the mean-square error. In this paper, a modified…
This paper considers the multi-parametric linear complementarity problem (pLCP) with sufficient matrices. The main result is an algorithm to find a polyhedral decomposition of the set of feasible parameters and to construct a piecewise…
This paper proposes a reformulation of the scenario-based two-stage unit commitment problem under uncertainty that allows finding unit-commitment plans that perform reasonably well both in expectation and for the worst case realization of…
Automated synthesis of provably correct controllers for cyber-physical systems is crucial for deployment in safety-critical scenarios. However, hybrid features and stochastic or unknown behaviours make this problem challenging. We propose a…
Discrete-time stochastic systems with continuous spaces are hard to verify and control, even with MDP abstractions due to the curse of dimensionality. We propose an abstraction-based framework with robust dynamic programming mappings that…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
We study the Stochastic Shortest Path (SSP) problem for autonomous systems with mixed max-sum cost aggregations under Linear Temporal Logic constraints. Classical SSP formulations rely on sum-aggregated costs, which are suitable for…
We present a logic that extends CTL (Computation Tree Logic) with operators that express synchronization properties. A property is synchronized in a system if it holds in all paths of a certain length. The new logic is obtained by using the…
A numerical method is developed to solve linear semi-infinite programming problem (LSIP) in which the iterates produced by the algorithm are feasible for the original problem. This is achieved by constructing a sequence of standard linear…
The problem of multi-area interchange scheduling in the presence of stochastic generation and load is considered. A new interchange scheduling technique based on a two-stage stochastic minimization of overall expected operating cost is…
This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the first time. It serves as the probability interpretation of…
This paper is concerned with optimal switching over multiple modes in continuous time and on a finite horizon. The performance index includes a running reward, terminal reward and switching costs that can belong to a large class of…