The aim of this paper is to formulate several questions related to distributionally robust Stochastic Optimal Control modeling. As an example, the distributionally robust counterpart of the classical inventory model is discussed in details. Finite and infinite horizon stationary settings are considered. Article Download View Distributionally Robust Modeling of Optimal Control
We consider nonlinear optimization problems that involve surrogate models represented by neural net-works. We demonstrate first how to directly embed neural network evaluation into optimization models, highlight a difficulty with this approach that can prevent convergence, and then characterize stationarity of such models. We then present two alternative formulations of these problems in the specific … Read more
In mine planning problems, cutoff grade optimization defines a threshold at every time period such that material above this value is processed, and the rest is considered waste. In orebodies with multiple minerals, which occur in practice, the natural extension is to consider a cutoff surface. We show that in two dimensions the optimal solution … Read more
This article is concerned with a recently proposed switching cost aware rounding (SCARP) strategy in the combinatorial integral decomposition for mixed-integer optimal control problems (MIOCPs). We consider the case of a control variable that is discrete-valued and distributed on a two-dimensional domain. While the theoretical results from the one-dimensional case directly apply to the multidimensional … Read more
We develop Monte-Carlo based heuristic approaches to approximate the objective function in long horizon optimal control problems. In these approaches, to approximate the expectation operator in the objective function, we evolve the system state over multiple trajectories into the future while sampling the noise disturbances at each time-step, and find the average (or weighted average) … Read more
Block tridiagonal systems appear in classic Kalman smoothing problems, as well in generalized Kalman smoothing, where problems may have nonsmooth terms, singular covariance, constraints, nonlinear models, and unknown parameters. In this paper, first we interpret all the classic smoothing algorithms as different approaches to solve positive definite block tridiagonal linear systems. Then, we obtain new … Read more
A fundamental challenge in learning to control an unknown dynamical system is to reduce model uncertainty by making measurements while maintaining safety. In this work, we formulate a mathematical definition of what it means to safely learn a dynamical system by sequentially deciding where to initialize the next trajectory. In our framework, the state of … Read more
The solution of classic discrete-time, finite-horizon linear quadratic regulator (LQR) problem is well known in literature. By casting the solution to be a static state-feedback, we propose a new method that trades off low LQR objective value with closed-loop stability. Citation To appear on the special issue on the 21st IFAC World Congress 2020, IFAC … Read more
This paper considers preconditioners for the linear systems that arise from optimal control and inverse problems involving the Helmholtz equation. Specifically, we explore an all-at-once approach. The main contribution centers on the analysis of two block preconditioners. Variations of these preconditioners have been proposed and analyzed in prior works for optimal control problems where the … Read more
Objective: A promising treatment for congestive heart failure is the implementation of a left ventricular assist device (LVAD) that works as a mechanical pump. Modern LVADs work with adjustable constant rotor speed and provide therefore continuous blood flow; however, recently undertaken efforts try to mimic pulsatile blood flow by oscillating the pump speed. This work … Read more