Related papers: Robust Stochastic Optimal Control via variance pen…
Reliability-based design optimization (RBDO) is traditionally formulated as a nested optimization and reliability problem. Although surrogate models are generally employed to improve efficiency, the approach remains computationally…
Since the introduction of the Black-Scholes model stochastic processes have played an increasingly important role in mathematical finance. In many cases prices, volatility and other quantities can be modeled using stochastic ordinary…
Algorithm selection is crucial in the field of optimization, as no single algorithm performs perfectly across all types of optimization problems. Finding the best algorithm among a given set of algorithms for a given problem requires a…
This paper presents models for renewable energy systems with storage, and considers its optimal operation. We model and simulate wind and solar power production using stochastic differential equations as well as storage of the produced…
Stochastic programming can be applied to consider uncertainties in energy system optimization models for capacity expansion planning. However, these models become increasingly large and time-consuming to solve, even without considering…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
A powerful result from behavioral systems theory known as the fundamental lemma allows for predictive control akin to Model Predictive Control (MPC) for linear time invariant (LTI) systems with unknown dynamics purely from data. While most…
Control variates are a well-established tool to reduce the variance of Monte Carlo estimators. However, for large-scale problems including high-dimensional and large-sample settings, their advantages can be outweighed by a substantial…
We propose a hierarchical distributed algorithm to solve optimal power flow (OPF) problems that aim at dispatching controllable distributed energy resources (DERs) for voltage regulation at minimum cost. The proposed algorithm features…
We consider optimal control of the scalar wave equation where the control enters as a coefficient in the principal part. Adding a total variation penalty allows showing existence of optimal controls, which requires continuity results for…
This paper presents a decentralized volt-var optimization (VVO) and network reconfiguration strategy to address the challenges arising from the growing integration of distributed energy resources, particularly photovoltaic (PV) generation…
We propose a multi-stage stochastic programming model for the optimal participation of energy communities in electricity markets. The multi-stage aspect captures the different times at which variable renewable generation and electricity…
Conventional stochastic control methods have several limitations. They focus on optimizing the average performance and, in some cases, performance variability; however, their problem settings still require an explicit specification of the…
In this paper, we compare the performance of two scenario-based numerical methods to solve stochastic optimal control problems: scenario trees and particles. The problem consists in finding strategies to control a dynamical system perturbed…
We study the optimal control of battery energy storage under a general "pay-for-performance" setup such as providing frequency regulation and renewable integration. In these settings, batteries need to carefully balance the trade-off…
We propose stochastic optimization methodologies for a staffing and capacity planning problem arising from home care practice. Specifically, we consider the perspective of a home care agency that must decide the number of caregivers to hire…
We study the efficiency of V-fold cross-validation (VFCV) for model selection from the non-asymptotic viewpoint, and suggest an improvement on it, which we call ``V-fold penalization''. Considering a particular (though simple) regression…
We present a stochastic variance-reduced heavy ball power iteration algorithm for solving PCA and provide a convergence analysis for it. The algorithm is an extension of heavy ball power iteration, incorporating a step size so that progress…
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…
Accurate power flow analysis is critical for modern distribution systems, yet classical solvers face scalability issues, and current machine learning models often struggle with generalization. We introduce BOOST-RPF, a novel method that…