Related papers: A Scenario-Based Approach for Stochastic Economic …
We present a stochastic constrained output-feedback data-driven predictive control scheme for linear time-invariant systems subject to bounded additive disturbances. The approach uses data-driven predictors based on an extension of Willems'…
In this work, we study economic model predictive control (MPC) in situations where the optimal operating behavior is periodic. In such a setting, the performance of a standard economic MPC scheme without terminal conditions can generally be…
This paper introduces a methodology for identifying and simulating financial and economic systems using stochastically structured reservoir computers (SSRCs). The framework combines structure-preserving embeddings with graph-informed…
In this paper, we address the stochastic MPC (SMPC) problem for linear systems, subject to chance state constraints and hard input constraints, under unknown noise distribution. First, we reformulate the chance state constraints as…
A new formulation of Stochastic Model Predictive Output Feedback Control is presented and analyzed as a translation of Stochastic Optimal Output Feedback Control into a receding horizon setting. This requires lifting the design into a…
Unknown constraints arise in many types of expensive black-box optimization problems. Several methods have been proposed recently for performing Bayesian optimization with constraints, based on the expected improvement (EI) heuristic.…
In this paper, we consider a multi-objective control problem for stochastic systems that seeks to minimize a cost of interest while ensuring safety. We introduce a novel measure of safety risk using the conditional value-at-risk and a set…
We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In…
Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up…
This paper is concerned with solving chance-constrained finite-horizon optimal control problems, with a particular focus on the recursive feasibility issue of stochastic model predictive control (SMPC) in terms of mission-wide probability…
In current Medium Voltage DC (MVDC) Shipboard Power Systems (SPSs), multiple sources exist to supply power to a common dc bus. Conventionally, the power management of such systems is performed by controlling Power Generation Modules (PGMs)…
Safety is essential for reinforcement learning (RL) applied in real-world situations. Chance constraints are suitable to represent the safety requirements in stochastic systems. Previous chance-constrained RL methods usually have a low…
Model predictive control (MPC) has been successful in applications involving the control of complex physical systems. This class of controllers leverages the information provided by an approximate model of the system's dynamics to simulate…
Reinforcement learning for control over continuous spaces typically uses high-entropy stochastic policies, such as Gaussian distributions, for local exploration and estimating policy gradient to optimize performance. Many robotic control…
In this paper, we consider the problem of minimum-time optimal control for a dynamical system with initial state uncertainties and propose a sequential convex programming (SCP) solution framework. We seek to minimize the expected terminal…
In this paper, we propose a model predictive control (MPC) method for real-time intervention of spreading processes, such as epidemics and wildfire, over large-scale networks. The goal is to allocate budgeted resources each time step to…
This paper solves a new class of optimization problems under uncertainty, called Probable Event Constrained Optimization (PECO), which optimizes an objective function of decision variables and subjects to a set of Probable Event Constraints…
Capital allocation is a procedure for quantifying the contribution of each source of risk to aggregated risk. The gradient allocation rule, also known as the Euler principle, is a prevalent rule of capital allocation under which the…
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…
Microgrids are autonomous clusters of generators, storage units and loads. Special requirements arise in interconnected operation: control schemes that do not require individual microgrids to disclose information about their internal…