Related papers: Learning Stochastic Parametric Differentiable Pred…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
The paper provides a new approach to the determination of a single state value for stochastic output feedback problems using paradigms from Model Predictive Control, particularly the distinction between open-loop and closed-loop control and…
We present a model predictive control (MPC) framework for nonlinear stochastic systems that ensures safety guarantee with high probability. Unlike most existing stochastic MPC schemes, our method adopts a set-erosion that converts the…
We present a methodology to deploy the stochastic policy gradient method, using actor-critic techniques, when the optimal policy is approximated using a parametric optimization problem, allowing one to enforce safety via hard constraints.…
We present a stochastic model predictive control (SMPC) framework for linear systems subject to possibly unbounded disturbances. State of the art SMPC approaches with closed-loop chance constraint satisfaction recursively initialize the…
In this paper, we consider the problem of learning safe policies for probabilistic-constrained reinforcement learning (RL). Specifically, a safe policy or controller is one that, with high probability, maintains the trajectory of the agent…
This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…
We address the issue of control of a stochastic two-component granulation process in pharmaceutical applications through using Stochastic Model Predictive Control (SMPC) and model reduction to obtain the desired particle distribution. We…
Sample-based learning model predictive control (LMPC) strategies have recently attracted attention due to their desirable theoretical properties and their good empirical performance on robotic tasks. However, prior analysis of LMPC…
We propose a Stochastic MPC (SMPC) approach for autonomous driving which incorporates multi-modal, interaction-aware predictions of surrounding vehicles. For each mode, vehicle motion predictions are obtained by a control model described…
This paper presents a Distributed Stochastic Model Predictive Control algorithm for networks of linear systems with multiplicative uncertainties and local chance constraints on the states and control inputs. The chance constraints are…
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 (R, s, S) is a stochastic inventory control policy widely used by practitioners. In an inventory system managed according to this policy, the inventory is reviewed at instant R; if the observed inventory position is lower than the…
This paper studies the optimal control problem for discrete-time nonlinear systems and an approximate dynamic programming-based Model Predictive Control (MPC) scheme is proposed for minimizing a quadratic performance measure. In the…
In this paper, a self-triggered adaptive model predictive control (MPC) algorithm is proposed for constrained discrete-time nonlinear systems subject to parametric uncertainties and additive disturbances. To bound the parametric…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
In this paper, we present a Deep Reinforcement Learning (RL)-driven Adaptive Stochastic Nonlinear Model Predictive Control (SNMPC) to optimize uncertainty handling, constraints robustification, feasibility, and closed-loop performance. To…
This paper presents a stochastic, model predictive control (MPC) algorithm that leverages short-term probabilistic forecasts for dispatching and rebalancing Autonomous Mobility-on-Demand systems (AMoD, i.e. fleets of self-driving vehicles).…
We consider the joint design and control of discrete-time stochastic dynamical systems over a finite time horizon. We formulate the problem as a multi-step optimization problem under uncertainty seeking to identify a system design and a…
In this paper, we propose a novel framework for approximating the explicit MPC law for linear parameter-varying systems using supervised learning. In contrast to most existing approaches, we not only learn the control policy, but also a…