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Nonlinear dynamics and safety constraints typically result in a nonlinear programming problem when applying model predictive control to achieve safe output consensus. To avoid the heavy computational burden of solving a nonlinear…
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…
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (minimize…
The Sequential Linear Quadratic (SLQ) algorithm is a continuous-time variant of the well-known Differential Dynamic Programming (DDP) technique with a Gauss-Newton Hessian approximation. This family of methods has gained popularity in the…
This article presents a dynamic regret analysis for stochastic model predictive control (SMPC) in linear systems with quadratic performance index and additive and multiplicative uncertainties. Under a finite support assumption, the problem…
In this paper, we present a Deep Reinforcement Learning (RL)-driven Adaptive Stochastic Nonlinear Model Predictive Control (SNMPC) to optimize uncertainty handling, constraints robustification, feasibility, and closed-loop performance. To…
Many applications -- including power systems, robotics, and economics -- involve a dynamical system interacting with a stochastic and hard-to-model environment. We adopt a reinforcement learning approach to control such systems.…
In this study, a microgrid with storage (battery, hot water tank) and solar panel is considered. We benchmark two algorithms, MPC and SDDP, that yield online policies to manage the microgrid, and compare them with a rule based policy. Model…
We define a regularized variant of the Dual Dynamic Programming algorithm called REDDP (REgularized Dual Dynamic Programming) to solve nonlinear dynamic programming equations. We extend the algorithm to solve nonlinear stochastic dynamic…
We study the problem of computing deterministic optimal policies for constrained Markov decision processes (MDPs) with continuous state and action spaces, which are widely encountered in constrained dynamical systems. Designing…
We investigate the dual of a Multistage Stochastic Linear Program (MSLP) to study two questions for this class of problems. The first of these questions is the study of the optimal value of the problem as a function of the involved…
We propose a Stochastic MPC (SMPC) approach for autonomous driving which incorporates multi-modal, interaction-aware predictions of surrounding vehicles. For each mode, vehicle motion predictions are obtained by a control model described…
Model Predictive Control (MPC) is a versatile approach capable of accommodating diverse control requirements that holds significant promise for a broad spectrum of industrial applications. Noteworthy challenges associated with MPC include…
The (R, s, S) is a stochastic inventory control policy widely used by practitioners. In an inventory system managed according to this policy, the inventory is reviewed at instant R; if the observed inventory position is lower than the…
In this paper, we present a robust distributed model predictive control (DMPC) scheme for dynamically decoupled nonlinear systems which are subject to state constraints, coupled state constraints and input constraints. In the proposed…
Controller design faces a trade-off between robustness and performance, and the reliability of linear controllers has caused many practitioners to focus on the former. However, there is renewed interest in improving system performance to…
We consider the problem of controlling a Markov decision process (MDP) with a large state space, so as to minimize average cost. Since it is intractable to compete with the optimal policy for large scale problems, we pursue the more modest…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…
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 develops a stochastic model predictive controller~(SMPC) for uncertain linear systems with additive Gaussian noise subject to state and control constraints. The proposed approach is based on the recently developed finite-horizon…