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We define a regularized variant of the Dual Dynamic Programming algorithm called REDDP (REgularized Dual Dynamic Programming) to solve nonlinear dynamic programming equations. We extend the algorithm to solve nonlinear stochastic dynamic…
In the Paris subway system, stations represent about one third of the overall energy consumption. Within stations, ventilation is among the top consuming devices; it is operated at maximum airflow all day long, for air quality reasons. In…
Stochastic production planning problems were studied in several works; the model with one production good was discussed in [3]. The extension to several economic goods is not a trivial issue as one can see from the recent works [4], [5] and…
We propose an algorithm for deterministic continuous Markov Decision Processes with sparse rewards that computes the optimal policy exactly with no dependency on the size of the state space. The algorithm has time complexity of $O( |R|^3…
We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically relied on a natural `projection' of a…
Spike-timing-dependent-plasticity (STDP) is an unsupervised learning algorithm for spiking neural network (SNN), which promises to achieve deeper understanding of human brain and more powerful artificial intelligence. While conventional…
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…
The ability to compute reward-optimal policies for given and known finite Markov decision processes (MDPs) underpins a variety of applications across planning, controller synthesis, and verification. However, we often want policies (1) to…
Stochastic convex optimization problems with nonlinear functional constraints are ubiquitous in signal processing applications including constrained least-squares, set-membership adaptive filtering, and trajectory optimization under…
Scenario reduction (SR) aims to identify a small yet representative scenario set to depict the underlying uncertainty, which is critical to scenario-based stochastic optimization (SBSO) of power systems. Existing SR techniques commonly aim…
We develop a stochastic inventory system which accounts for the limited patience of backlogged customers. While limited patience is a feature that is closer to the nature of unmet demand, our model also unifies the classic backlogging and…
Indirect trajectory optimization methods such as Differential Dynamic Programming (DDP) have found considerable success when only planning under dynamic feasibility constraints. Meanwhile, nonlinear programming (NLP) has been the…
Backtracking search algorithms are often used to solve the Constraint Satisfaction Problem (CSP). The efficiency of backtracking search depends greatly on the variable ordering heuristics. Currently, the most commonly used heuristics are…
This paper proposes the first-ever algorithmic framework for tuning hyper-parameters of stochastic optimization algorithm based on reinforcement learning. Hyper-parameters impose significant influences on the performance of stochastic…
We study an online dynamic pricing problem where the potential demand at each time period $t=1,2,\ldots, T$ is stochastic and dependent on the price. However, a perishable inventory is imposed at the beginning of each time $t$, censoring…
We revisit the Stochastic Knapsack problem, where a policy-maker chooses an execution order for jobs with fixed values and stochastic running-times, aiming to maximize the value completed by a deadline. Dean et al. (FOCS'04) show that…
A key challenge in satisficing planning is to use multiple heuristics within one heuristic search. An aggregation of multiple heuristic estimates, for example by taking the maximum, has the disadvantage that bad estimates of a single…
This paper studies a risk minimization problem with decision dependent data distribution. The problem pertains to the performative prediction setting in which a trained model can affect the outcome estimated by the model. Such dependency…
Motivated by the philosophy and phenomenal success of compressed sensing, the problem of reconstructing a matrix from a sampling of its entries has attracted much attention recently. Such a problem can be viewed as an information-theoretic…
Stochastic processes offer a flexible mathematical formalism to model and reason about systems. Most analysis tools, however, start from the premises that models are fully specified, so that any parameters controlling the system's dynamics…