Related papers: Dual dynamic programming for stochastic programs o…
We introduce an extension of Stochastic Dual Dynamic Programming (SDDP) to solve stochastic convex dynamic programming equations. This extension applies when some or all primal and dual subproblems to be solved along the forward and…
An innovative numerical algorithm for solving infinite-horizon optimal control problems is introduced in this paper, using the IsoCost-HyperSurface (ICHS) concept. In the state space of an optimal control system, an ICHS is defined as a set…
Multistage stochastic programming deals with operational and planning problems that involve a sequence of decisions over time while responding to realizations that are uncertain. Algorithms designed to address multistage stochastic linear…
Real Time Dynamic Programming (RTDP) is an online algorithm based on Dynamic Programming (DP) that acts by 1-step greedy planning. Unlike DP, RTDP does not require access to the entire state space, i.e., it explicitly handles the…
Designing controllers for systems affected by model uncertainty can prove to be a challenge, especially when seeking the optimal compromise between the conflicting goals of identification and control. This trade-off is explicitly taken into…
Maintenance optimization has been extensively studied in the past decades. However, most of the existing maintenance models focus on single-component systems and are not applicable for complex systems consisting of multiple components, due…
HDSDP is a numerical software solving the semidefinite programming problems. The main framework of HDSDP resembles the dual-scaling interior point solver DSDP [BY2008] and several new features, including a dual method based on the…
Markov Decision Processes (MDPs) are a formal framework for modeling and solving sequential decision-making problems. In finite-time horizons such problems are relevant for instance for optimal stopping or specific supply chain problems,…
Dual control explicitly addresses the problem of trading off active exploration and exploitation in the optimal control of partially unknown systems. While the problem can be cast in the framework of stochastic dynamic programming, exact…
In this paper, we study multistage stochastic mixed-integer nonlinear programs (MS-MINLP). This general class of problems encompasses, as important special cases, multistage stochastic convex optimization with non-Lipschitzian value…
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…
We consider convex optimization problems formulated using dynamic programming equations. Such problems can be solved using the Dual Dynamic Programming algorithm combined with the Level 1 cut selection strategy or the Territory algorithm to…
Multistage Stochastic Programming (MSP) is a class of models for sequential decision-making under uncertainty. MSP problems are known for their computational intractability due to the sequential nature of the decision-making structure and…
This paper build on our recent work where we presented a dual stochastic optimal control formulation of the nonlinear filtering problem [1]. The constraint for the dual problem is a backward stochastic differential equations (BSDE). The…
Several attempts to dampen the curse of dimensionnality problem of the Dynamic Programming approach for solving multistage optimization problems have been investigated. One popular way to address this issue is the Stochastic Dual Dynamic…
This work presents a stochastic dynamic programming (SDP) algorithm that aims at minimizing an economic criteria based on the total energy consumption of a range extender electric vehicle (REEV). This algorithm integrates information from…
Autonomous agents are limited in their ability to observe the world state. Partially observable Markov decision processes (POMDPs) formally model the problem of planning under world state uncertainty, but POMDPs with continuous actions and…
Power systems that need to integrate renewables at a large scale must account for the high levels of uncertainty introduced by these power sources. This can be accomplished with a system of many distributed grid-level storage devices.…
Adaptive dynamic programming is a collective term for a variety of approaches to infinite-horizon optimal control. Common to all approaches is approximation of the infinite-horizon cost function based on dynamic programming philosophy.…
Generalized Polynomial Chaos (gPC) theory has been widely used for representing parametric uncertainty in a system, thanks to its ability to propagate uncertainty evolution. In an optimal control context, gPC can be combined with several…