Related papers: Peak Time-Windowed Risk Estimation of Stochastic P…
Distributed opportunistic scheduling is studied for wireless ad-hoc networks, where many links contend for one channel using random access. In such networks, distributed opportunistic scheduling (DOS) involves a process of joint channel…
Discrete-time robust optimal control problems generally take a min-max structure over continuous variable spaces, which can be difficult to solve in practice. In this paper, we extend the class of such problems that can be solved through a…
One of the most fundamental problems in Markov decision processes is analysis and control synthesis for safety and reachability specifications. We consider the stochastic reach-avoid problem, in which the objective is to synthesize a…
In applied time-to-event analysis, a flexible parametric approach is to model the hazard rate as a piecewise constant function of time. However, the change points and values of the piecewise constant hazard are usually unknown and need to…
We study statistical properties of the optimal value and optimal solutions of the Sample Average Approximation of risk averse stochastic problems. Central Limit Theorem type results are derived for the optimal value and optimal solutions…
This paper generalizes results concerning strong convexity of two-stage mean-risk models with linear recourse to distortion risk measures. Introducing the concept of (restricted) partial strong convexity, we conduct an in-depth analysis of…
Recently path integral methods have been developed for stochastic optimal control for a wide class of models with non-linear dynamics in continuous space-time. Path integral methods find the control that minimizes the expected cost-to-go.…
We give sufficient conditions for the expected excess and the upper semideviation of recourse functions to be strongly convex. This is done in the setting of two-stage stochastic programs with complete linear recourse and random right-hand…
High penetration of renewable energy sources and the increasing share of stochastic loads require the explicit representation of uncertainty in tools such as the optimal power flow (OPF). Current approaches follow either a linearized…
Weakly hard real-time systems can, to some degree, tolerate deadline misses, but their schedulability still needs to be analyzed to ensure their quality of service. Such analysis usually occurs at early design stages to provide…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-ascent algorithm which applies to problems subject to…
Risk-sensitive control balances performance with resilience to unlikely events in uncertain systems. This paper introduces ergodic-risk criteria, which capture long-term cumulative risks through probabilistic limit theorems. By ensuring the…
In this paper, we discuss an application of the SDDP type algorithm to nested risk-averse formulations of Stochastic Optimal Control (SOC) problems. We propose a construction of a statistical upper bound for the optimal value of risk-averse…
Forecasting costs is now a front burner in empirical economics. We propose an unconventional tool for stochastic prediction of future expenses based on the individual (micro) developments of recorded events. Consider a firm, enterprise,…
We consider an energy storage problem involving a wind farm with a forecasted power output, a stochastic load, an energy storage device, and a connection to the larger power grid with stochastic prices. Electricity prices and wind power…
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…
In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a…
We consider the problem of designing policies for partially observable Markov decision processes (POMDPs) with dynamic coherent risk objectives. Synthesizing risk-averse optimal policies for POMDPs requires infinite memory and thus…