Related papers: A Tax-Efficient Model Predictive Control Policy fo…
We establish an algorithm to learn feedback maps from data for a class of robust model predictive control (MPC) problems. The algorithm accounts for the approximation errors due to the learning directly at the synthesis stage, ensuring…
Model predictive control (MPC) is pervasive in research and industry. However, designing the cost function and the constraints of the MPC to maximize closed-loop performance remains an open problem. To achieve optimal tuning, we propose a…
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the…
This paper presents a new approach to Model Predictive Control for environments where essential, discrete variables are partially observed. Under this assumption, the belief state is a probability distribution over a finite number of…
We propose in this paper an optimal control framework for renewable energy communities (RECs) equipped with controllable assets. Such RECs allow its members to exchange production surplus through an internal market. The objective is to…
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess…
In this article, a model predictive control (MPC) method is proposed for constrained linear systems to track bounded references with arbitrary dynamics. Besides control inputs to be determined, artificial reference is introduced as…
This paper considers a risk-constrained infinite-horizon optimal control problem and proposes to solve it in an iterative manner. Each iteration of the algorithm generates a trajectory from the starting point to the target equilibrium state…
Real-world reinforcement learning (RL) problems often demand that agents behave safely by obeying a set of designed constraints. We address the challenge of safe RL by coupling a safety guide based on model predictive control (MPC) with a…
One of the major limitations of optimization-based strategies for allocating the power flow in hybrid powertrains is that they rely on predictions of future power demand. These predictions are inherently uncertain as they are dependent on…
This paper is about a real-time model predictive control (MPC) algorithm for a particular class of model based controllers, whose objective consists of a nominal tracking objective and an additional learning objective. Here, the…
Model Predictive Control (MPC) is a widely known control method that has proved to be particularly effective in multivariable and constrained control. Closed-loop stability and recursive feasibility can be guaranteed by employing accurate…
This paper considers a risk-constrained motion planning problem and aims to find the solution combining the concepts of iterative model predictive control (MPC) and data-driven distributionally robust (DR) risk-constrained optimization. In…
Financial portfolio management is one of the problems that are most frequently encountered in the investment industry. Nevertheless, it is not widely recognized that both Kelly Criterion and Risk Parity collapse into Mean Variance under…
Model predictive control (MPC) has become the most widely used advanced control method in process industry. In many cases, forecasts of the disturbances are available, e.g., predicted renewable power generation based on weather forecast.…
In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain function characterised by a power utility function of consumption…
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this paper deals with Target Date Funds (TDFs), which are a typical…
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function.…
Model predictive control (MPC) is an optimal control technique which involves solving a sequence of constrained optimization problems across a given time horizon. In this paper, we introduce a category theoretic framework for constructing…
This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go (PAYG) pension scheme. The social planner can invest in a buffer fund in order to guarantee a minimal pension amount. The model aims at…