Carpentier, Pierre; Cohen, Guy; De Lara, Michel
2015-01-01
The focus of the present volume is stochastic optimization of dynamical systems in discrete time where - by concentrating on the role of information regarding optimization problems - it discusses the related discretization issues. There is a growing need to tackle uncertainty in applications of optimization. For example the massive introduction of renewable energies in power systems challenges traditional ways to manage them. This book lays out basic and advanced tools to handle and numerically solve such problems and thereby is building a bridge between Stochastic Programming and Stochastic Control. It is intended for graduates readers and scholars in optimization or stochastic control, as well as engineers with a background in applied mathematics.
Optimal Control and Optimization of Stochastic Supply Chain Systems
Song, Dong-Ping
2013-01-01
Optimal Control and Optimization of Stochastic Supply Chain Systems examines its subject in the context of the presence of a variety of uncertainties. Numerous examples with intuitive illustrations and tables are provided, to demonstrate the structural characteristics of the optimal control policies in various stochastic supply chains and to show how to make use of these characteristics to construct easy-to-operate sub-optimal policies. In Part I, a general introduction to stochastic supply chain systems is provided. Analytical models for various stochastic supply chain systems are formulated and analysed in Part II. In Part III the structural knowledge of the optimal control policies obtained in Part II is utilized to construct easy-to-operate sub-optimal control policies for various stochastic supply chain systems accordingly. Finally, Part IV discusses the optimisation of threshold-type control policies and their robustness. A key feature of the book is its tying together of ...
Optimal Control with Partial Information for Stochastic Volterra Equations
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Bernt øksendal
2010-01-01
Full Text Available In the first part of the paper we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin calculus approach, we deduce a general maximum principle for optimal control of general stochastic Volterra equations. The result is applied to solve some stochastic control problem for some stochastic delay equations.
Stochastic optimal control of state constrained systems
van den Broek, Bart; Wiegerinck, Wim; Kappen, Bert
2011-03-01
In this article we consider the problem of stochastic optimal control in continuous-time and state-action space of systems with state constraints. These systems typically appear in the area of robotics, where hard obstacles constrain the state space of the robot. A common approach is to solve the problem locally using a linear-quadratic Gaussian (LQG) method. We take a different approach and apply path integral control as introduced by Kappen (Kappen, H.J. (2005a), 'Path Integrals and Symmetry Breaking for Optimal Control Theory', Journal of Statistical Mechanics: Theory and Experiment, 2005, P11011; Kappen, H.J. (2005b), 'Linear Theory for Control of Nonlinear Stochastic Systems', Physical Review Letters, 95, 200201). We use hybrid Monte Carlo sampling to infer the control. We introduce an adaptive time discretisation scheme for the simulation of the controlled dynamics. We demonstrate our approach on two examples, a simple particle in a halfspace and a more complex two-joint manipulator, and we show that in a high noise regime our approach outperforms the iterative LQG method.
Optimal control of stochastic difference Volterra equations an introduction
Shaikhet, Leonid
2015-01-01
This book showcases a subclass of hereditary systems, that is, systems with behaviour depending not only on their current state but also on their past history; it is an introduction to the mathematical theory of optimal control for stochastic difference Volterra equations of neutral type. As such, it will be of much interest to researchers interested in modelling processes in physics, mechanics, automatic regulation, economics and finance, biology, sociology and medicine for all of which such equations are very popular tools. The text deals with problems of optimal control such as meeting given performance criteria, and stabilization, extending them to neutral stochastic difference Volterra equations. In particular, it contrasts the difference analogues of solutions to optimal control and optimal estimation problems for stochastic integral Volterra equations with optimal solutions for corresponding problems in stochastic difference Volterra equations. Optimal Control of Stochastic Difference Volterra Equation...
Centralized Stochastic Optimal Control of Complex Systems
Energy Technology Data Exchange (ETDEWEB)
Malikopoulos, Andreas [ORNL
2015-01-01
In this paper we address the problem of online optimization of the supervisory power management control in parallel hybrid electric vehicles (HEVs). We model HEV operation as a controlled Markov chain using the long-run expected average cost per unit time criterion, and we show that the control policy yielding the Pareto optimal solution minimizes the average cost criterion online. The effectiveness of the proposed solution is validated through simulation and compared to the solution derived with dynamic programming using the average cost criterion.
A Multiobjective Optimization Framework for Stochastic Control of Complex Systems
Energy Technology Data Exchange (ETDEWEB)
Malikopoulos, Andreas [ORNL; Maroulas, Vasileios [ORNL; Xiong, Professor Jie [The University of Tennessee
2015-01-01
This paper addresses the problem of minimizing the long-run expected average cost of a complex system consisting of subsystems that interact with each other and the environment. We treat the stochastic control problem as a multiobjective optimization problem of the one-stage expected costs of the subsystems, and we show that the control policy yielding the Pareto optimal solution is an optimal control policy that minimizes the average cost criterion for the entire system. For practical situations with constraints consistent to those we study here, our results imply that the Pareto control policy may be of value in deriving online an optimal control policy in complex systems.
Structured controllers for uncertain systems a stochastic optimization approach
Toscano, Rosario
2013-01-01
Structured Controllers for Uncertain Systems focuses on the development of easy-to-use design strategies for robust low-order or fixed-structure controllers (particularly the industrially ubiquitous PID controller). These strategies are based on a recently-developed stochastic optimization method termed the "Heuristic Kalman Algorithm" (HKA) the use of which results in a simplified methodology that enables the solution of the structured control problem without a profusion of user-defined parameters. An overview of the main stochastic methods employable in the context of continuous non-convex optimization problems is also provided and various optimization criteria for the design of a structured controller are considered; H∞, H2, and mixed H2/H∞ each merits a chapter to itself. Time-domain-performance specifications can be easily incorporated in the design. Advances in Industrial Control aims to report and encourage the transfer of technology in control engineering. The rapid development of control technolo...
Optimal Stochastic Modeling and Control of Flexible Structures
1988-09-01
Multivariate Stationary Gaussian Processes," SIAM J-control and Optimization, Vol. 23, No. 6, Nov. 1985. 1.14. George Adomian , Stochastic Systems...Systems Whose Coefficients are Functions of Param- eters," IEEE Trans. on Automatic Control, Vol. AC-29, No. 1, Jan. 1984. 1.52. G. Adomian and L.h...Automation and Remote Control, No. 2, February, No. 3, March, pp. 5-19, 1984. 2.3. George Adomian , Stochastic Systems, Academic Press, N.Y., 1983. 2.4. Peter S
Stochastic Optimal Control for Online Seller under Reputational Mechanisms
Directory of Open Access Journals (Sweden)
Milan Bradonjić
2015-12-01
Full Text Available In this work we propose and analyze a model which addresses the pulsing behavior of sellers in an online auction (store. This pulsing behavior is observed when sellers switch between advertising and processing states. We assert that a seller switches her state in order to maximize her profit, and further that this switch can be identified through the seller’s reputation. We show that for each seller there is an optimal reputation, i.e., the reputation at which the seller should switch her state in order to maximize her total profit. We design a stochastic behavioral model for an online seller, which incorporates the dynamics of resource allocation and reputation. The design of the model is optimized by using a stochastic advertising model from [1] and used effectively in the Stochastic Optimal Control of Advertising [2]. This model of reputation is combined with the effect of online reputation on sales price empirically verified in [3]. We derive the Hamilton-Jacobi-Bellman (HJB differential equation, whose solution relates optimal wealth level to a seller’s reputation. We formulate both a full model, as well as a reduced model with fewer parameters, both of which have the same qualitative description of the optimal seller behavior. Coincidentally, the reduced model has a closed form analytical solution that we construct.
Stochastic optimal control of single neuron spike trains
DEFF Research Database (Denmark)
Iolov, Alexandre; Ditlevsen, Susanne; Longtin, Andrë
2014-01-01
Objective. External control of spike times in single neurons can reveal important information about a neuron's sub-threshold dynamics that lead to spiking, and has the potential to improve brain–machine interfaces and neural prostheses. The goal of this paper is the design of optimal electrical...... stimulation of a neuron to achieve a target spike train under the physiological constraint to not damage tissue. Approach. We pose a stochastic optimal control problem to precisely specify the spike times in a leaky integrate-and-fire (LIF) model of a neuron with noise assumed to be of intrinsic or synaptic...... of control degrades with increasing intensity of the noise. Simulations show that our algorithms produce the desired results for the LIF model, but also for the case where the neuron dynamics are given by more complex models than the LIF model. This is illustrated explicitly using the Morris–Lecar spiking...
Sequential stochastic optimization
Cairoli, Renzo
1996-01-01
Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stochastic optimization problems can be formulated and solved. Offering much material that is either new or has never before appeared in book form, it lucidly presents a unified theory of optimal stopping and optimal sequential control of stochastic processes. This book has been carefully organized so that little prior knowledge of the subject is assumed; its only prerequisites are a standard graduate course in probability theory and some familiarity with discrete-paramet
Optimization of stochastic discrete systems and control on complex networks computational networks
Lozovanu, Dmitrii
2014-01-01
This book presents the latest findings on stochastic dynamic programming models and on solving optimal control problems in networks. It includes the authors' new findings on determining the optimal solution of discrete optimal control problems in networks and on solving game variants of Markov decision problems in the context of computational networks. First, the book studies the finite state space of Markov processes and reviews the existing methods and algorithms for determining the main characteristics in Markov chains, before proposing new approaches based on dynamic programming and combinatorial methods. Chapter two is dedicated to infinite horizon stochastic discrete optimal control models and Markov decision problems with average and expected total discounted optimization criteria, while Chapter three develops a special game-theoretical approach to Markov decision processes and stochastic discrete optimal control problems. In closing, the book's final chapter is devoted to finite horizon stochastic con...
Stochastic optimal control in infinite dimension dynamic programming and HJB equations
Fabbri, Giorgio; Święch, Andrzej
2017-01-01
Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite ...
Dynamic stochastic optimization
Ermoliev, Yuri; Pflug, Georg
2004-01-01
Uncertainties and changes are pervasive characteristics of modern systems involving interactions between humans, economics, nature and technology. These systems are often too complex to allow for precise evaluations and, as a result, the lack of proper management (control) may create significant risks. In order to develop robust strategies we need approaches which explic itly deal with uncertainties, risks and changing conditions. One rather general approach is to characterize (explicitly or implicitly) uncertainties by objec tive or subjective probabilities (measures of confidence or belief). This leads us to stochastic optimization problems which can rarely be solved by using the standard deterministic optimization and optimal control methods. In the stochastic optimization the accent is on problems with a large number of deci sion and random variables, and consequently the focus ofattention is directed to efficient solution procedures rather than to (analytical) closed-form solu tions. Objective an...
A combined stochastic programming and optimal control approach to personal finance and pensions
DEFF Research Database (Denmark)
Konicz, Agnieszka Karolina; Pisinger, David; Rasmussen, Kourosh Marjani
2015-01-01
The paper presents a model that combines a dynamic programming (stochastic optimal control) approach and a multi-stage stochastic linear programming approach (SLP), integrated into one SLP formulation. Stochastic optimal control produces an optimal policy that is easy to understand and implement...... that among the considered practical constraints, the presence of taxes aects the optimal controls the most. Furthermore, the individual's preferences, such as impatience level and risk aversion, have even a higher impact on the controlled processes than the taxes on capital gains........ Two applications are considered: (A) optimal investment, consumption and insured sum for an individual maximizing the expected utility of consumption and bequest, and (B) optimal investment for a pension saver who wishes to maximize the expected utility of retirement benets. Numerical results show...
Directory of Open Access Journals (Sweden)
Zhi-Wen Zhu
2015-01-01
Full Text Available A kind of high-aspect-ratio shape memory alloy (SMA composite wing is proposed to reduce the wing’s fluttering. The nonlinear dynamic characteristics and optimal control of the SMA composite wings subjected to in-plane stochastic excitation are investigated where the great bending under the flight loads is considered. The stochastic stability of the system is analyzed, and the system’s response is obtained. The conditions of stochastic Hopf bifurcation are determined, and the probability density of the first-passage time is obtained. Finally, the optimal control strategy is proposed. Numerical simulation shows that the stability of the system varies with bifurcation parameters, and stochastic Hopf bifurcation appears in the process; the reliability of the system is improved through optimal control, and the first-passage time is delayed. Finally, the effects of the control strategy are proved by experiments. The results of this paper are helpful for engineering applications of SMA.
Scalable algorithms for optimal control of stochastic PDEs
Ghattas, Omar
2016-01-07
We present methods for the optimal control of systems governed by partial differential equations with infinite-dimensional uncertain parameters. We consider an objective function that involves the mean and variance of the control objective, leading to a risk-averse optimal control formulation. To make the optimal control problem computationally tractable, we employ a local quadratic approximation of the objective with respect to the uncertain parameter. This enables computation of the mean and variance of the control objective analytically. The resulting risk-averse optimization problem is formulated as a PDE-constrained optimization problem with constraints given by the forward and adjoint PDEs for the first and second-order derivatives of the quantity of interest with respect to the uncertain parameter, and with an objective that involves the trace of a covariance-preconditioned Hessian (of the objective with respect to the uncertain parameters) operator. A randomized trace estimator is used to make tractable the trace computation. Adjoint-based techniques are used to derive an expression for the infinite-dimensional gradient of the risk-averse objective function via the Lagrangian, leading to a quasi-Newton method for solution of the optimal control problem. A specific problem of optimal control of a linear elliptic PDE that describes flow of a fluid in a porous medium with uncertain permeability field is considered. We present numerical results to study the consequences of the local quadratic approximation and the efficiency of the method.
Multistage stochastic optimization
Pflug, Georg Ch
2014-01-01
Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization. It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book
Optimal Stochastic Control Problem for General Linear Dynamical Systems in Neuroscience
Directory of Open Access Journals (Sweden)
Yan Chen
2017-01-01
Full Text Available This paper considers a d-dimensional stochastic optimization problem in neuroscience. Suppose the arm’s movement trajectory is modeled by high-order linear stochastic differential dynamic system in d-dimensional space, the optimal trajectory, velocity, and variance are explicitly obtained by using stochastic control method, which allows us to analytically establish exact relationships between various quantities. Moreover, the optimal trajectory is almost a straight line for a reaching movement; the optimal velocity bell-shaped and the optimal variance are consistent with the experimental Fitts law; that is, the longer the time of a reaching movement, the higher the accuracy of arriving at the target position, and the results can be directly applied to designing a reaching movement performed by a robotic arm in a more general environment.
Logical Stochastic Optimization
Saad, Emad
2013-01-01
We present a logical framework to represent and reason about stochastic optimization problems based on probability answer set programming. This is established by allowing probability optimization aggregates, e.g., minimum and maximum in the language of probability answer set programming to allow minimization or maximization of some desired criteria under the probabilistic environments. We show the application of the proposed logical stochastic optimization framework under the probability answ...
Stochastic models, estimation, and control
Maybeck, Peter S
1982-01-01
This volume builds upon the foundations set in Volumes 1 and 2. Chapter 13 introduces the basic concepts of stochastic control and dynamic programming as the fundamental means of synthesizing optimal stochastic control laws.
Directory of Open Access Journals (Sweden)
Sie Long Kek
2015-01-01
Full Text Available A computational approach is proposed for solving the discrete time nonlinear stochastic optimal control problem. Our aim is to obtain the optimal output solution of the original optimal control problem through solving the simplified model-based optimal control problem iteratively. In our approach, the adjusted parameters are introduced into the model used such that the differences between the real system and the model used can be computed. Particularly, system optimization and parameter estimation are integrated interactively. On the other hand, the output is measured from the real plant and is fed back into the parameter estimation problem to establish a matching scheme. During the calculation procedure, the iterative solution is updated in order to approximate the true optimal solution of the original optimal control problem despite model-reality differences. For illustration, a wastewater treatment problem is studied and the results show the efficiency of the approach proposed.
Stochastic Optimal Control of Parallel Hybrid Electric Vehicles
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Feiyan Qin
2017-02-01
Full Text Available Energy management strategies (EMSs in hybrid electric vehicles (HEVs are highly related to the fuel economy and emission performances. However, EMS constitutes a challenging problem due to the complex structure of a HEV and the unknown or partially known driving cycles. To meet this problem, this paper adopts a stochastic dynamic programming (SDP method for the EMS of a specially designed vehicle, a pre-transmission single-shaft torque-coupling parallel HEV. In this parallel HEV, the auto clutch output is connected to the transmission input through an electric motor, which benefits an efficient motor assist operation. In this EMS, demanded torque of driver is modeled as a one-state Markov process to represent the uncertainty of future driving situations. The obtained EMS has been evaluated with ADVISOR2002 over two standard government drive cycles and a self-defined one, and compared with a dynamic programming (DP one and a rule-based one. Simulation results have shown the real-time performance of the proposed approach, and potential vehicle performance improvement relative to the rule-based one.
Stochastic optimization methods
Marti, Kurt
2005-01-01
Optimization problems arising in practice involve random parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, deterministic substitute problems are needed. Based on the distribution of the random data, and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into deterministic substitute problems. Due to the occurring probabilities and expectations, approximative solution techniques must be applied. Deterministic and stochastic approximation methods and their analytical properties are provided: Taylor expansion, regression and response surface methods, probability inequalities, First Order Reliability Methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation methods, differentiation of probability and mean value functions. Convergence results of the resulting iterative solution procedures are given.
Stochastic processes, optimization, and control theory a volume in honor of Suresh Sethi
Yan, Houmin
2006-01-01
This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.
Economic-oriented stochastic optimization in advanced process control of chemical processes.
Dobos, László; Király, András; Abonyi, János
2012-01-01
Finding the optimal operating region of chemical processes is an inevitable step toward improving economic performance. Usually the optimal operating region is situated close to process constraints related to product quality or process safety requirements. Higher profit can be realized only by assuring a relatively low frequency of violation of these constraints. A multilevel stochastic optimization framework is proposed to determine the optimal setpoint values of control loops with respect to predetermined risk levels, uncertainties, and costs of violation of process constraints. The proposed framework is realized as direct search-type optimization of Monte-Carlo simulation of the controlled process. The concept is illustrated throughout by a well-known benchmark problem related to the control of a linear dynamical system and the model predictive control of a more complex nonlinear polymerization process.
DEFF Research Database (Denmark)
Feng, Ju; Ying, Zu-Guang; Zhu, Wei-Qiu
2012-01-01
the minimax stochastic optimal control strategy based on the stochastic averaging method and stochastic differential game. The worst-case disturbances and the optimal controls are obtained by the minimax dynamical programming equation with the constraints of disturbance bounds and MR damper dynamics. Finally...... strategy, which is also compared with the clipped linear-quadratic-Gaussian control strategy to show the advantages....
Sahoo, Avimanyu; Jagannathan, Sarangapani
2017-02-01
In this paper, an event-driven stochastic adaptive dynamic programming (ADP)-based technique is introduced for nonlinear systems with a communication network within its feedback loop. A near optimal control policy is designed using an actor-critic framework and ADP with event sampled state vector. First, the system dynamics are approximated by using a novel neural network (NN) identifier with event sampled state vector. The optimal control policy is generated via an actor NN by using the NN identifier and value function approximated by a critic NN through ADP. The stochastic NN identifier, actor, and critic NN weights are tuned at the event sampled instants leading to aperiodic weight tuning laws. Above all, an adaptive event sampling condition based on estimated NN weights is designed by using the Lyapunov technique to ensure ultimate boundedness of all the closed-loop signals along with the approximation accuracy. The net result is event-driven stochastic ADP technique that can significantly reduce the computation and network transmissions. Finally, the analytical design is substantiated with simulation results.
Pan, Indranil; Das, Saptarshi; Gupta, Amitava
2011-01-01
An optimal PID and an optimal fuzzy PID have been tuned by minimizing the Integral of Time multiplied Absolute Error (ITAE) and squared controller output for a networked control system (NCS). The tuning is attempted for a higher order and a time delay system using two stochastic algorithms viz. the Genetic Algorithm (GA) and two variants of Particle Swarm Optimization (PSO) and the closed loop performances are compared. The paper shows that random variation in network delay can be handled efficiently with fuzzy logic based PID controllers over conventional PID controllers. Copyright © 2010 ISA. Published by Elsevier Ltd. All rights reserved.
DEFF Research Database (Denmark)
Maurico-Iglesias, Miguel; Castro, Ignacio Montero; Mollerup, Ane Loft
2015-01-01
The design of sewer system control is a complex task given the large size of the sewer networks, the transient dynamics of the water flow and the stochastic nature of rainfall. This contribution presents a generic methodology for the design of a self-optimising controller in sewer systems....... Such controller is aimed at keeping the system close to the optimal performance, thanks to an optimal selection of controlled variables. The definition of an optimal performance was carried out by a two-stage optimisation (stochastic and deterministic) to take into account both the overflow during the current...
Directory of Open Access Journals (Sweden)
T.B. Nikitina
2017-04-01
Full Text Available Purpose. Developed the method for solving the problem of multiobjective synthesis of robust control by multimass electromechanical systems based on the construction of the Pareto optimal solutions using multiswarm stochastic multi-agent optimization of particles swarm, which reduces the time of determining the parameters of robust controls multimass electromechanical systems and satisfy a variety of requirements that apply to the work of such systems in different modes. Methodology. Multiobjective synthesis of robust control of multimass electromechanical systems is reduced to the solution of solving the problem of multiobjective optimization. To correct the above problem solving multiobjective optimization in addition to the vector optimization criteria and constraints must also be aware of the binary preference relations of local solutions against each other. The basis for such a formal approach is to build areas of Pareto-optimal solutions. This approach can significantly narrow down the range of possible solutions of the problem of optimal initial multiobjective optimization and, consequently, reduce the complexity of the person making the decision on the selection of a single version of the optimal solution. Results. The results of the synthesis of multi-criteria electromechanical servo system and a comparison of dynamic characteristics, and it is shown that the use of synthesized robust controllers reduced the error guidance working mechanism and reduced the system sensitivity to changes in the control parameters of the object compared to the existing system with standard controls. Originality. For the first time, based on the construction of the Pareto optimal solutions using a multiswarm stochastic multi-agent optimization particle algorithms improved method for solving formulated multiobjective multiextremal nonlinear programming problem with constraints, to which the problem of multiobjective synthesis of robust controls by multimass
A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework
Directory of Open Access Journals (Sweden)
Pavel V. Shevchenko
2016-07-01
Full Text Available In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control framework and review the existing numerical methods. We also discuss pricing under the complete/incomplete financial market models, stochastic mortality and optimal/sub-optimal policyholder behavior, and in the presence of taxes. For numerical valuation of these contracts in the case of simple risky asset process, we develop a direct integration method based on the Gauss-Hermite quadratures with a one-dimensional cubic spline for calculation of the expected contract value, and a bi-cubic spline interpolation for applying the jump conditions across the contract cashflow event times. This method is easier to implement and faster when compared to the partial differential equation methods if the transition density (or its moments of the risky asset underlying the contract is known in closed form between the event times. We present accurate numerical results for pricing of a Guaranteed Minimum Accumulation Benefit (GMAB guarantee available on the market that can serve as a numerical benchmark for practitioners and researchers developing pricing of variable annuity guarantees to assess the accuracy of their numerical implementation.
El-Khoury, O.; Kim, C.; Shafieezadeh, A.; Hur, J. E.; Heo, G. H.
2015-06-01
This study performs a series of numerical simulations and shake-table experiments to design and assess the performance of a nonlinear clipped feedback control algorithm based on optimal polynomial control (OPC) to mitigate the response of a two-span bridge equipped with a magnetorheological (MR) damper. As an extended conventional linear quadratic regulator, OPC provides more flexibility in the control design and further enhances system performance. The challenges encountered in this case are (1) the linearization of the nonlinear behavior of various components and (2) the selection of the weighting matrices in the objective function of OPC. The first challenge is addressed by using stochastic linearization which replaces the nonlinear portion of the system behavior with an equivalent linear time-invariant model considering the stochasticity in the excitation. Furthermore, a genetic algorithm is employed to find optimal weighting matrices for the control design. The input current to the MR damper installed between adjacent spans is determined using a clipped stochastic optimal polynomial control algorithm. The performance of the controlled system is assessed through a set of shake-table experiments for far-field and near-field ground motions. The proposed method showed considerable improvements over passive cases especially for the far-field ground motion.
2011-09-01
tics for a suboptimal approach to landing on a power line that may be sufficient for 169 systems with significant computational limitations, as may be...Contributions to the Theory of Optimal Control. Boletin de la Sociedad Mathematica Mexicana, 1960. [61] Kalmár-Nagy, Tamás, Raffaello D’Andrea, and Pritam
Stochastic optimization: beyond mathematical programming
CERN. Geneva
2015-01-01
Stochastic optimization, among which bio-inspired algorithms, is gaining momentum in areas where more classical optimization algorithms fail to deliver satisfactory results, or simply cannot be directly applied. This presentation will introduce baseline stochastic optimization algorithms, and illustrate their efficiency in different domains, from continuous non-convex problems to combinatorial optimization problem, to problems for which a non-parametric formulation can help exploring unforeseen possible solution spaces.
Optimal control strategy for an impulsive stochastic competition system with time delays and jumps
Liu, Lidan; Meng, Xinzhu; Zhang, Tonghua
2017-07-01
Driven by both white and jump noises, a stochastic delayed model with two competitive species in a polluted environment is proposed and investigated. By using the comparison theorem of stochastic differential equations and limit superior theory, sufficient conditions for persistence in mean and extinction of two species are established. In addition, we obtain that the system is asymptotically stable in distribution by using ergodic method. Furthermore, the optimal harvesting effort and the maximum of expectation of sustainable yield (ESY) are derived from Hessian matrix method and optimal harvesting theory of differential equations. Finally, some numerical simulations are provided to illustrate the theoretical results.
Sutrisno; Widowati; Solikhin
2016-06-01
In this paper, we propose a mathematical model in stochastic dynamic optimization form to determine the optimal strategy for an integrated single product inventory control problem and supplier selection problem where the demand and purchasing cost parameters are random. For each time period, by using the proposed model, we decide the optimal supplier and calculate the optimal product volume purchased from the optimal supplier so that the inventory level will be located at some point as close as possible to the reference point with minimal cost. We use stochastic dynamic programming to solve this problem and give several numerical experiments to evaluate the model. From the results, for each time period, the proposed model was generated the optimal supplier and the inventory level was tracked the reference point well.
Stochastic Optimization of Complex Systems
Energy Technology Data Exchange (ETDEWEB)
Birge, John R. [University of Chicago
2014-03-20
This project focused on methodologies for the solution of stochastic optimization problems based on relaxation and penalty methods, Monte Carlo simulation, parallel processing, and inverse optimization. The main results of the project were the development of a convergent method for the solution of models that include expectation constraints as in equilibrium models, improvement of Monte Carlo convergence through the use of a new method of sample batch optimization, the development of new parallel processing methods for stochastic unit commitment models, and the development of improved methods in combination with parallel processing for incorporating automatic differentiation methods into optimization.
Stochastic predictive control with adaptive model maintenance
Bavdekar, VA; Ehlinger, V; Gidon, D; Mesbah, A.
2016-01-01
© 2016 IEEE. The closed-loop performance of model-based controllers often degrades over time due to increased model uncertainty. Some form of model maintenance must be performed to regularly adapt the system model using closed-loop data. This paper addresses the problem of control-oriented model adaptation in the context of predictive control of stochastic linear systems. A stochastic predictive control approach is presented that integrates stochastic optimal control with control-oriented inp...
Stochastic optimization methods
Marti, Kurt
2008-01-01
Optimization problems arising in practice involve random model parameters. This book features many illustrations, several examples, and applications to concrete problems from engineering and operations research.
Towsley, Don; Sparaggis, Panayotis D.; Cassandras, Christos G.
1990-01-01
The problem of routing jobs to parallel queues with identical exponential servers and unequal finite buffer capacities is considered. Stochastic ordering and weak majorization properties on critical performance measures are established by means of event-driven inductions. In particular, it is shown that the intuitive 'join the shortest non-full queue' (SNQ) policy is optimal with respect to an overall function that accounts for holding and blocking costs. Moreover, the buffer allocation problem is solved by proving the intuitive result that, for a fixed total buffer capacity, the optimal allocation scheme is the one in which the difference between the maximum and minimum queue capacities is minimized, i.e., becomes either 0 or 1.
Intrinsic optimization using stochastic nanomagnets
Sutton, Brian; Camsari, Kerem Yunus; Behin-Aein, Behtash; Datta, Supriyo
2017-01-01
This paper draws attention to a hardware system which can be engineered so that its intrinsic physics is described by the generalized Ising model and can encode the solution to many important NP-hard problems as its ground state. The basic constituents are stochastic nanomagnets which switch randomly between the ±1 Ising states and can be monitored continuously with standard electronics. Their mutual interactions can be short or long range, and their strengths can be reconfigured as needed to solve specific problems and to anneal the system at room temperature. The natural laws of statistical mechanics guide the network of stochastic nanomagnets at GHz speeds through the collective states with an emphasis on the low energy states that represent optimal solutions. As proof-of-concept, we present simulation results for standard NP-complete examples including a 16-city traveling salesman problem using experimentally benchmarked models for spin-transfer torque driven stochastic nanomagnets. PMID:28295053
Intrinsic optimization using stochastic nanomagnets
Sutton, Brian; Camsari, Kerem Yunus; Behin-Aein, Behtash; Datta, Supriyo
2017-03-01
This paper draws attention to a hardware system which can be engineered so that its intrinsic physics is described by the generalized Ising model and can encode the solution to many important NP-hard problems as its ground state. The basic constituents are stochastic nanomagnets which switch randomly between the ±1 Ising states and can be monitored continuously with standard electronics. Their mutual interactions can be short or long range, and their strengths can be reconfigured as needed to solve specific problems and to anneal the system at room temperature. The natural laws of statistical mechanics guide the network of stochastic nanomagnets at GHz speeds through the collective states with an emphasis on the low energy states that represent optimal solutions. As proof-of-concept, we present simulation results for standard NP-complete examples including a 16-city traveling salesman problem using experimentally benchmarked models for spin-transfer torque driven stochastic nanomagnets.
Portfolio Optimization with Stochastic Dividends and Stochastic Volatility
Varga, Katherine Yvonne
2015-01-01
We consider an optimal investment-consumption portfolio optimization model in which an investor receives stochastic dividends. As a first problem, we allow the drift of stock price to be a bounded function. Next, we consider a stochastic volatility model. In each problem, we use the dynamic programming method to derive the Hamilton-Jacobi-Bellman…
Stochastic dynamics and control
Sun, Jian-Qiao; Zaslavsky, George
2006-01-01
This book is a result of many years of author's research and teaching on random vibration and control. It was used as lecture notes for a graduate course. It provides a systematic review of theory of probability, stochastic processes, and stochastic calculus. The feedback control is also reviewed in the book. Random vibration analyses of SDOF, MDOF and continuous structural systems are presented in a pedagogical order. The application of the random vibration theory to reliability and fatigue analysis is also discussed. Recent research results on fatigue analysis of non-Gaussian stress proc
Dynamic optimization deterministic and stochastic models
Hinderer, Karl; Stieglitz, Michael
2016-01-01
This book explores discrete-time dynamic optimization and provides a detailed introduction to both deterministic and stochastic models. Covering problems with finite and infinite horizon, as well as Markov renewal programs, Bayesian control models and partially observable processes, the book focuses on the precise modelling of applications in a variety of areas, including operations research, computer science, mathematics, statistics, engineering, economics and finance. Dynamic Optimization is a carefully presented textbook which starts with discrete-time deterministic dynamic optimization problems, providing readers with the tools for sequential decision-making, before proceeding to the more complicated stochastic models. The authors present complete and simple proofs and illustrate the main results with numerous examples and exercises (without solutions). With relevant material covered in four appendices, this book is completely self-contained.
Stochastic dynamics and combinatorial optimization
Ovchinnikov, Igor V.; Wang, Kang L.
2017-11-01
Natural dynamics is often dominated by sudden nonlinear processes such as neuroavalanches, gamma-ray bursts, solar flares, etc., that exhibit scale-free statistics much in the spirit of the logarithmic Ritcher scale for earthquake magnitudes. On phase diagrams, stochastic dynamical systems (DSs) exhibiting this type of dynamics belong to the finite-width phase (N-phase for brevity) that precedes ordinary chaotic behavior and that is known under such names as noise-induced chaos, self-organized criticality, dynamical complexity, etc. Within the recently proposed supersymmetric theory of stochastic dynamics, the N-phase can be roughly interpreted as the noise-induced “overlap” between integrable and chaotic deterministic dynamics. As a result, the N-phase dynamics inherits the properties of the both. Here, we analyze this unique set of properties and conclude that the N-phase DSs must naturally be the most efficient optimizers: on one hand, N-phase DSs have integrable flows with well-defined attractors that can be associated with candidate solutions and, on the other hand, the noise-induced attractor-to-attractor dynamics in the N-phase is effectively chaotic or aperiodic so that a DS must avoid revisiting solutions/attractors thus accelerating the search for the best solution. Based on this understanding, we propose a method for stochastic dynamical optimization using the N-phase DSs. This method can be viewed as a hybrid of the simulated and chaotic annealing methods. Our proposition can result in a new generation of hardware devices for efficient solution of various search and/or combinatorial optimization problems.
Stochastic Control - External Models
DEFF Research Database (Denmark)
Poulsen, Niels Kjølstad
2005-01-01
This note is devoted to control of stochastic systems described in discrete time. We are concerned with external descriptions or transfer function model, where we have a dynamic model for the input output relation only (i.e.. no direct internal information). The methods are based on LTI systems...... a section on that topic can be found in appendix....
2009-01-01
DISTRIBUTION STATEMENT A. Approved for public release; distribution is unlimited . Drifter Motion Planning for Optimal Surveillance of the Ocean...00-2009 to 00-00-2009 4. TITLE AND SUBTITLE Drifter Motion Planning for Optimal Surveillance of the Ocean Progress Report Stochastic Prediction
Stochastic Optimization of Wind Turbine Power Factor Using Stochastic Model of Wind Power
DEFF Research Database (Denmark)
Chen, Peiyuan; Siano, Pierluigi; Bak-Jensen, Birgitte
2010-01-01
. The optimization algorithm utilizes the stochastic models of wind power generation (WPG) and load demand to take into account their stochastic variation. The stochastic model of WPG is developed on the basis of a limited autoregressive integrated moving average (LARIMA) model by introducing a crosscorrelation......This paper proposes a stochastic optimization algorithm that aims to minimize the expectation of the system power losses by controlling wind turbine (WT) power factors. This objective of the optimization is subject to the probability constraints of bus voltage and line current requirements...... structure to the LARIMA model. The proposed stochastic optimization is carried out on a 69-bus distribution system. Simulation results confirm that, under various combinations of WPG and load demand, the system power losses are considerably reduced with the optimal setting of WT power factor as compared...
Discrete-Time Indefinite Stochastic Linear Quadratic Optimal Control with Second Moment Constraints
Directory of Open Access Journals (Sweden)
Weihai Zhang
2014-01-01
Full Text Available This paper studies the discrete-time stochastic linear quadratic (LQ problem with a second moment constraint on the terminal state, where the weighting matrices in the cost functional are allowed to be indefinite. By means of the matrix Lagrange theorem, a new class of generalized difference Riccati equations (GDREs is introduced. It is shown that the well-posedness, and the attainability of the LQ problem and the solvability of the GDREs are equivalent to each other.
Ant colony optimization and stochastic gradient descent.
Meuleau, Nicolas; Dorigo, Marco
2002-01-01
In this article, we study the relationship between the two techniques known as ant colony optimization (ACO) and stochastic gradient descent. More precisely, we show that some empirical ACO algorithms approximate stochastic gradient descent in the space of pheromones, and we propose an implementation of stochastic gradient descent that belongs to the family of ACO algorithms. We then use this insight to explore the mutual contributions of the two techniques.
Stochastic control with rough paths
Energy Technology Data Exchange (ETDEWEB)
Diehl, Joscha [University of California San Diego (United States); Friz, Peter K., E-mail: friz@math.tu-berlin.de [TU & WIAS Berlin (Germany); Gassiat, Paul [CEREMADE, Université Paris-Dauphine, PSL Research University (France)
2017-04-15
We study a class of controlled differential equations driven by rough paths (or rough path realizations of Brownian motion) in the sense of Lyons. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum principle. Deterministic problems of this type arise in the duality theory for controlled diffusion processes and typically involve anticipating stochastic analysis. We make the link to old work of Davis and Burstein (Stoch Stoch Rep 40:203–256, 1992) and then prove a continuous-time generalization of Roger’s duality formula [SIAM J Control Optim 46:1116–1132, 2007]. The generic case of controlled volatility is seen to give trivial duality bounds, and explains the focus in Burstein–Davis’ (and this) work on controlled drift. Our study of controlled rough differential equations also relates to work of Mazliak and Nourdin (Stoch Dyn 08:23, 2008).
Discrete-event control of stochastic networks multimodularity and regularity
Altman, Eitan; Hordijk, Arie
2003-01-01
Opening new directions in research in both discrete event dynamic systems as well as in stochastic control, this volume focuses on a wide class of control and of optimization problems over sequences of integer numbers. This is a counterpart of convex optimization in the setting of discrete optimization. The theory developed is applied to the control of stochastic discrete-event dynamic systems. Some applications are admission, routing, service allocation and vacation control in queueing networks. Pure and applied mathematicians will enjoy reading the book since it brings together many disciplines in mathematics: combinatorics, stochastic processes, stochastic control and optimization, discrete event dynamic systems, algebra.
Constrained Optimal Stochastic Control of Non-Linear Wave Energy Point Absorbers
DEFF Research Database (Denmark)
Sichani, Mahdi Teimouri; Chen, Jian-Bing; Kramer, Morten
2014-01-01
to extract energy. Constrains are enforced on the control force to prevent large structural stresses in the floater at specific hot spots with the risk of inducing fatigue damage, or because the demanded control force cannot be supplied by the actuator system due to saturation. Further, constraints...
Online Advertisement, Optimization and Stochastic Networks
Tan, Bo; Srikant, R.
2010-01-01
In this paper, we propose a stochastic model to describe how search service providers charge client companies based on users' queries for the keywords related to these companies' ads by using certain advertisement assignment strategies. We formulate an optimization problem to maximize the long-term average revenue for the service provider under each client's long-term average budget constraint, and design an online algorithm which captures the stochastic properties of users' queries and click...
On benchmarking Stochastic Global Optimization Algorithms
Hendrix, E.M.T.; Lancinskas, A.
2015-01-01
A multitude of heuristic stochastic optimization algorithms have been described in literature to obtain good solutions of the box-constrained global optimization problem often with a limit on the number of used function evaluations. In the larger question of which algorithms behave well on which
Stochastic Fractal Based Multiobjective Fruit Fly Optimization
Directory of Open Access Journals (Sweden)
Zuo Cili
2017-06-01
Full Text Available The fruit fly optimization algorithm (FOA is a global optimization algorithm inspired by the foraging behavior of a fruit fly swarm. In this study, a novel stochastic fractal model based fruit fly optimization algorithm is proposed for multiobjective optimization. A food source generating method based on a stochastic fractal with an adaptive parameter updating strategy is introduced to improve the convergence performance of the fruit fly optimization algorithm. To deal with multiobjective optimization problems, the Pareto domination concept is integrated into the selection process of fruit fly optimization and a novel multiobjective fruit fly optimization algorithm is then developed. Similarly to most of other multiobjective evolutionary algorithms (MOEAs, an external elitist archive is utilized to preserve the nondominated solutions found so far during the evolution, and a normalized nearest neighbor distance based density estimation strategy is adopted to keep the diversity of the external elitist archive. Eighteen benchmarks are used to test the performance of the stochastic fractal based multiobjective fruit fly optimization algorithm (SFMOFOA. Numerical results show that the SFMOFOA is able to well converge to the Pareto fronts of the test benchmarks with good distributions. Compared with four state-of-the-art methods, namely, the non-dominated sorting generic algorithm (NSGA-II, the strength Pareto evolutionary algorithm (SPEA2, multi-objective particle swarm optimization (MOPSO, and multiobjective self-adaptive differential evolution (MOSADE, the proposed SFMOFOA has better or competitive multiobjective optimization performance.
Sparse Learning with Stochastic Composite Optimization.
Zhang, Weizhong; Zhang, Lijun; Jin, Zhongming; Jin, Rong; Cai, Deng; Li, Xuelong; Liang, Ronghua; He, Xiaofei
2017-06-01
In this paper, we study Stochastic Composite Optimization (SCO) for sparse learning that aims to learn a sparse solution from a composite function. Most of the recent SCO algorithms have already reached the optimal expected convergence rate O(1/λT), but they often fail to deliver sparse solutions at the end either due to the limited sparsity regularization during stochastic optimization (SO) or due to the limitation in online-to-batch conversion. Even when the objective function is strongly convex, their high probability bounds can only attain O(√{log(1/δ)/T}) with δ is the failure probability, which is much worse than the expected convergence rate. To address these limitations, we propose a simple yet effective two-phase Stochastic Composite Optimization scheme by adding a novel powerful sparse online-to-batch conversion to the general Stochastic Optimization algorithms. We further develop three concrete algorithms, OptimalSL, LastSL and AverageSL, directly under our scheme to prove the effectiveness of the proposed scheme. Both the theoretical analysis and the experiment results show that our methods can really outperform the existing methods at the ability of sparse learning and at the meantime we can improve the high probability bound to approximately O(log(log(T)/δ)/λT).
Advances in stochastic and deterministic global optimization
Zhigljavsky, Anatoly; Žilinskas, Julius
2016-01-01
Current research results in stochastic and deterministic global optimization including single and multiple objectives are explored and presented in this book by leading specialists from various fields. Contributions include applications to multidimensional data visualization, regression, survey calibration, inventory management, timetabling, chemical engineering, energy systems, and competitive facility location. Graduate students, researchers, and scientists in computer science, numerical analysis, optimization, and applied mathematics will be fascinated by the theoretical, computational, and application-oriented aspects of stochastic and deterministic global optimization explored in this book. This volume is dedicated to the 70th birthday of Antanas Žilinskas who is a leading world expert in global optimization. Professor Žilinskas's research has concentrated on studying models for the objective function, the development and implementation of efficient algorithms for global optimization with single and mu...
Fuzzy Stochastic Optimization Theory, Models and Applications
Wang, Shuming
2012-01-01
Covering in detail both theoretical and practical perspectives, this book is a self-contained and systematic depiction of current fuzzy stochastic optimization that deploys the fuzzy random variable as a core mathematical tool to model the integrated fuzzy random uncertainty. It proceeds in an orderly fashion from the requisite theoretical aspects of the fuzzy random variable to fuzzy stochastic optimization models and their real-life case studies. The volume reflects the fact that randomness and fuzziness (or vagueness) are two major sources of uncertainty in the real world, with significant implications in a number of settings. In industrial engineering, management and economics, the chances are high that decision makers will be confronted with information that is simultaneously probabilistically uncertain and fuzzily imprecise, and optimization in the form of a decision must be made in an environment that is doubly uncertain, characterized by a co-occurrence of randomness and fuzziness. This book begins...
Linear System Control Using Stochastic Learning Automata
Ziyad, Nigel; Cox, E. Lucien; Chouikha, Mohamed F.
1998-01-01
This paper explains the use of a Stochastic Learning Automata (SLA) to control switching between three systems to produce the desired output response. The SLA learns the optimal choice of the damping ratio for each system to achieve a desired result. We show that the SLA can learn these states for the control of an unknown system with the proper choice of the error criteria. The results of using a single automaton are compared to using multiple automata.
Evaluation of stochastic reservoir operation optimization models
Celeste, Alcigeimes B.; Billib, Max
2009-09-01
This paper investigates the performance of seven stochastic models used to define optimal reservoir operating policies. The models are based on implicit (ISO) and explicit stochastic optimization (ESO) as well as on the parameterization-simulation-optimization (PSO) approach. The ISO models include multiple regression, two-dimensional surface modeling and a neuro-fuzzy strategy. The ESO model is the well-known and widely used stochastic dynamic programming (SDP) technique. The PSO models comprise a variant of the standard operating policy (SOP), reservoir zoning, and a two-dimensional hedging rule. The models are applied to the operation of a single reservoir damming an intermittent river in northeastern Brazil. The standard operating policy is also included in the comparison and operational results provided by deterministic optimization based on perfect forecasts are used as a benchmark. In general, the ISO and PSO models performed better than SDP and the SOP. In addition, the proposed ISO-based surface modeling procedure and the PSO-based two-dimensional hedging rule showed superior overall performance as compared with the neuro-fuzzy approach.
Stochastic control theory dynamic programming principle
Nisio, Makiko
2015-01-01
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem. Zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games are studied via a nonlinear semigroup related to DPP (the min-ma...
Model predictive control classical, robust and stochastic
Kouvaritakis, Basil
2016-01-01
For the first time, a textbook that brings together classical predictive control with treatment of up-to-date robust and stochastic techniques. Model Predictive Control describes the development of tractable algorithms for uncertain, stochastic, constrained systems. The starting point is classical predictive control and the appropriate formulation of performance objectives and constraints to provide guarantees of closed-loop stability and performance. Moving on to robust predictive control, the text explains how similar guarantees may be obtained for cases in which the model describing the system dynamics is subject to additive disturbances and parametric uncertainties. Open- and closed-loop optimization are considered and the state of the art in computationally tractable methods based on uncertainty tubes presented for systems with additive model uncertainty. Finally, the tube framework is also applied to model predictive control problems involving hard or probabilistic constraints for the cases of multiplic...
Stochastic network optimization with application to communication and queueing systems
Neely, Michael
2010-01-01
This text presents a modern theory of analysis, control, and optimization for dynamic networks. Mathematical techniques of Lyapunov drift and Lyapunov optimization are developed and shown to enable constrained optimization of time averages in general stochastic systems. The focus is on communication and queueing systems, including wireless networks with time-varying channels, mobility, and randomly arriving traffic. A simple drift-plus-penalty framework is used to optimize time averages such as throughput, throughput-utility, power, and distortion. Explicit performance-delay tradeoffs are prov
A direct approach to linear-quadratic stochastic control
Directory of Open Access Journals (Sweden)
Tyrone E. Duncan
2017-01-01
Full Text Available A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic differential equations with a stochastic maximum principle or the use of a dynamic programming principle. The appropriate Riccati equation is obtained as part of the optimization problem. The noise processes can be fairly general including the family of fractional Brownian motions.
Directory of Open Access Journals (Sweden)
Shuangyan Li
Full Text Available This study develops an optimization model to integrate facility location and inventory control for a three-level distribution network consisting of a supplier, multiple distribution centers (DCs, and multiple retailers. The integrated model addressed in this study simultaneously determines three types of decisions: (1 facility location (optimal number, location, and size of DCs; (2 allocation (assignment of suppliers to located DCs and retailers to located DCs, and corresponding optimal transport mode choices; and (3 inventory control decisions on order quantities, reorder points, and amount of safety stock at each retailer and opened DC. A mixed-integer programming model is presented, which considers the carbon emission taxes, multiple transport modes, stochastic demand, and replenishment lead time. The goal is to minimize the total cost, which covers the fixed costs of logistics facilities, inventory, transportation, and CO2 emission tax charges. The aforementioned optimal model was solved using commercial software LINGO 11. A numerical example is provided to illustrate the applications of the proposed model. The findings show that carbon emission taxes can significantly affect the supply chain structure, inventory level, and carbon emission reduction levels. The delay rate directly affects the replenishment decision of a retailer.
Li, Shuangyan; Li, Xialian; Zhang, Dezhi; Zhou, Lingyun
2017-01-01
This study develops an optimization model to integrate facility location and inventory control for a three-level distribution network consisting of a supplier, multiple distribution centers (DCs), and multiple retailers. The integrated model addressed in this study simultaneously determines three types of decisions: (1) facility location (optimal number, location, and size of DCs); (2) allocation (assignment of suppliers to located DCs and retailers to located DCs, and corresponding optimal transport mode choices); and (3) inventory control decisions on order quantities, reorder points, and amount of safety stock at each retailer and opened DC. A mixed-integer programming model is presented, which considers the carbon emission taxes, multiple transport modes, stochastic demand, and replenishment lead time. The goal is to minimize the total cost, which covers the fixed costs of logistics facilities, inventory, transportation, and CO2 emission tax charges. The aforementioned optimal model was solved using commercial software LINGO 11. A numerical example is provided to illustrate the applications of the proposed model. The findings show that carbon emission taxes can significantly affect the supply chain structure, inventory level, and carbon emission reduction levels. The delay rate directly affects the replenishment decision of a retailer.
Li, Shuangyan; Li, Xialian; Zhang, Dezhi; Zhou, Lingyun
2017-01-01
This study develops an optimization model to integrate facility location and inventory control for a three-level distribution network consisting of a supplier, multiple distribution centers (DCs), and multiple retailers. The integrated model addressed in this study simultaneously determines three types of decisions: (1) facility location (optimal number, location, and size of DCs); (2) allocation (assignment of suppliers to located DCs and retailers to located DCs, and corresponding optimal transport mode choices); and (3) inventory control decisions on order quantities, reorder points, and amount of safety stock at each retailer and opened DC. A mixed-integer programming model is presented, which considers the carbon emission taxes, multiple transport modes, stochastic demand, and replenishment lead time. The goal is to minimize the total cost, which covers the fixed costs of logistics facilities, inventory, transportation, and CO2 emission tax charges. The aforementioned optimal model was solved using commercial software LINGO 11. A numerical example is provided to illustrate the applications of the proposed model. The findings show that carbon emission taxes can significantly affect the supply chain structure, inventory level, and carbon emission reduction levels. The delay rate directly affects the replenishment decision of a retailer. PMID:28103246
Optimal information diffusion in stochastic block models
Curato, Gianbiagio
2016-01-01
We use the linear threshold model to study the diffusion of information on a network generated by the stochastic block model. We focus our analysis on a two community structure where the initial set of informed nodes lies only in one of the two communities and we look for optimal network structures, i.e. those maximizing the asymptotic extent of the diffusion. We find that, constraining the mean degree and the fraction of initially informed nodes, the optimal structure can be assortative (modular), core-periphery, or even disassortative. We then look for minimal cost structures, i.e. those such that a minimal fraction of initially informed nodes is needed to trigger a global cascade. We find that the optimal networks are assortative but with a structure very close to a core-periphery graph, i.e. a very dense community linked to a much more sparsely connected periphery.
Han, Jing-Cheng; Huang, Guo-He; Zhang, Hua; Li, Zhong
2013-09-01
Soil erosion is one of the most serious environmental and public health problems, and such land degradation can be effectively mitigated through performing land use transitions across a watershed. Optimal land use management can thus provide a way to reduce soil erosion while achieving the maximum net benefit. However, optimized land use allocation schemes are not always successful since uncertainties pertaining to soil erosion control are not well presented. This study applied an interval-parameter fuzzy two-stage stochastic programming approach to generate optimal land use planning strategies for soil erosion control based on an inexact optimization framework, in which various uncertainties were reflected. The modeling approach can incorporate predefined soil erosion control policies, and address inherent system uncertainties expressed as discrete intervals, fuzzy sets, and probability distributions. The developed model was demonstrated through a case study in the Xiangxi River watershed, China's Three Gorges Reservoir region. Land use transformations were employed as decision variables, and based on these, the land use change dynamics were yielded for a 15-year planning horizon. Finally, the maximum net economic benefit with an interval value of [1.197, 6.311] × 10(9) $ was obtained as well as corresponding land use allocations in the three planning periods. Also, the resulting soil erosion amount was found to be decreased and controlled at a tolerable level over the watershed. Thus, results confirm that the developed model is a useful tool for implementing land use management as not only does it allow local decision makers to optimize land use allocation, but can also help to answer how to accomplish land use changes.
Stochastic Finite Elements in Reliability-Based Structural Optimization
DEFF Research Database (Denmark)
Sørensen, John Dalsgaard; Engelund, S.
1995-01-01
Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect...
Stochastic Finite Elements in Reliability-Based Structural Optimization
DEFF Research Database (Denmark)
Sørensen, John Dalsgaard; Engelund, S.
Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect...
Stochastic Recursive Algorithms for Optimization Simultaneous Perturbation Methods
Bhatnagar, S; Prashanth, L A
2013-01-01
Stochastic Recursive Algorithms for Optimization presents algorithms for constrained and unconstrained optimization and for reinforcement learning. Efficient perturbation approaches form a thread unifying all the algorithms considered. Simultaneous perturbation stochastic approximation and smooth fractional estimators for gradient- and Hessian-based methods are presented. These algorithms: • are easily implemented; • do not require an explicit system model; and • work with real or simulated data. Chapters on their application in service systems, vehicular traffic control and communications networks illustrate this point. The book is self-contained with necessary mathematical results placed in an appendix. The text provides easy-to-use, off-the-shelf algorithms that are given detailed mathematical treatment so the material presented will be of significant interest to practitioners, academic researchers and graduate students alike. The breadth of applications makes the book appropriate for reader from sim...
Adaptive stochastic disturbance accommodating control
George, Jemin; Singla, Puneet; Crassidis, John L.
2011-02-01
This article presents a Kalman filter based adaptive disturbance accommodating stochastic control scheme for linear uncertain systems to minimise the adverse effects of both model uncertainties and external disturbances. Instead of dealing with system uncertainties and external disturbances separately, the disturbance accommodating control scheme lumps the overall effects of these errors in a to-be-determined model-error vector and then utilises a Kalman filter in the feedback loop for simultaneously estimating the system states and the model-error vector from noisy measurements. Since the model-error dynamics is unknown, the process noise covariance associated with the model-error dynamics is used to empirically tune the Kalman filter to yield accurate estimates. A rigorous stochastic stability analysis reveals a lower bound requirement on the assumed system process noise covariance to ensure the stability of the controlled system when the nominal control action on the true plant is unstable. An adaptive law is synthesised for the selection of stabilising system process noise covariance. Simulation results are presented where the proposed control scheme is implemented on a two degree-of-freedom helicopter.
Method to describe stochastic dynamics using an optimal coordinate.
Krivov, Sergei V
2013-12-01
A general method to describe the stochastic dynamics of Markov processes is suggested. The method aims to solve three related problems: the determination of an optimal coordinate for the description of stochastic dynamics; the reconstruction of time from an ensemble of stochastic trajectories; and the decomposition of stationary stochastic dynamics into eigenmodes which do not decay exponentially with time. The problems are solved by introducing additive eigenvectors which are transformed by a stochastic matrix in a simple way - every component is translated by a constant distance. Such solutions have peculiar properties. For example, an optimal coordinate for stochastic dynamics with detailed balance is a multivalued function. An optimal coordinate for a random walk on a line corresponds to the conventional eigenvector of the one-dimensional Dirac equation. The equation for the optimal coordinate in a slowly varying potential reduces to the Hamilton-Jacobi equation for the action function.
Optimization and Optimal Control
Chinchuluun, Altannar; Enkhbat, Rentsen; Tseveendorj, Ider
2010-01-01
During the last four decades there has been a remarkable development in optimization and optimal control. Due to its wide variety of applications, many scientists and researchers have paid attention to fields of optimization and optimal control. A huge number of new theoretical, algorithmic, and computational results have been observed in the last few years. This book gives the latest advances, and due to the rapid development of these fields, there are no other recent publications on the same topics. Key features: Provides a collection of selected contributions giving a state-of-the-art accou
Directory of Open Access Journals (Sweden)
Jie Yu
2015-01-01
Full Text Available Virtual power plant (VPP is an aggregation of multiple distributed generations, energy storage, and controllable loads. Affected by natural conditions, the uncontrollable distributed generations within VPP, such as wind and photovoltaic generations, are extremely random and relative. Considering the randomness and its correlation of uncontrollable distributed generations, this paper constructs the chance constraints stochastic optimal dispatch of VPP including stochastic variables and its random correlation. The probability distributions of independent wind and photovoltaic generations are described by empirical distribution functions, and their joint probability density model is established by Frank-copula function. And then, sample average approximation (SAA is applied to convert the chance constrained stochastic optimization model into a deterministic optimization model. Simulation cases are calculated based on the AIMMS. Simulation results of this paper mathematic model are compared with the results of deterministic optimization model without stochastic variables and stochastic optimization considering stochastic variables but not random correlation. Furthermore, this paper analyzes how SAA sampling frequency and the confidence level influence the results of stochastic optimization. The numerical example results show the effectiveness of the stochastic optimal dispatch of VPP considering the randomness and its correlations of distributed generations.
A Stochastic Multiobjective Optimization Framework for Wireless Sensor Networks
Directory of Open Access Journals (Sweden)
Shibo He
2010-01-01
Full Text Available In wireless sensor networks (WSNs, there generally exist many different objective functions to be optimized. In this paper, we propose a stochastic multiobjective optimization approach to solve such kind of problem. We first formulate a general multiobjective optimization problem. We then decompose the optimization formulation through Lagrange dual decomposition and adopt the stochastic quasigradient algorithm to solve the primal-dual problem in a distributed way. We show theoretically that our algorithm converges to the optimal solution of the primal problem by using the knowledge of stochastic programming. Furthermore, the formulation provides a general stochastic multiobjective optimization framework for WSNs. We illustrate how the general framework works by considering an example of the optimal rate allocation problem in multipath WSNs with time-varying channel. Extensive simulation results are given to demonstrate the effectiveness of our algorithm.
Vesapogu, Joshi Manohar; Peddakotla, Sujatha; Kuppa, Seetha Rama Anjaneyulu
2013-01-01
With the advancements in semiconductor technology, high power medium voltage (MV) Drives are extensively used in numerous industrial applications. Challenging technical requirements of MV Drives is to control multilevel inverter (MLI) with less Total harmonic distortion (%THD) which satisfies IEEE standard 519-1992 harmonic guidelines and less switching losses. Among all modulation control strategies for MLI, Selective harmonic elimination (SHE) technique is one of the traditionally preferred modulation control technique at fundamental switching frequency with better harmonic profile. On the other hand, the equations which are formed by SHE technique are highly non-linear in nature, may exist multiple, single or even no solution at particular modulation index (MI). However, in some MV Drive applications, it is required to operate over a range of MI. Providing analytical solutions for SHE equations during the whole range of MI from 0 to 1, has been a challenging task for researchers. In this paper, an attempt is made to solve SHE equations by using deterministic and stochastic optimization methods and comparative harmonic analysis has been carried out. An effective algorithm which minimizes %THD with less computational effort among all optimization algorithms has been presented. To validate the effectiveness of proposed MPSO technique, an experiment is carried out on a low power proto type of three phase CHB 11- level Inverter using FPGA based Xilinx's Spartan -3A DSP Controller. The experimental results proved that MPSO technique has successfully solved SHE equations over all range of MI from 0 to 1, the %THD obtained over major range of MI also satisfies IEEE 519-1992 harmonic guidelines too.
Aschepkov, Leonid T; Kim, Taekyun; Agarwal, Ravi P
2016-01-01
This book is based on lectures from a one-year course at the Far Eastern Federal University (Vladivostok, Russia) as well as on workshops on optimal control offered to students at various mathematical departments at the university level. The main themes of the theory of linear and nonlinear systems are considered, including the basic problem of establishing the necessary and sufficient conditions of optimal processes. In the first part of the course, the theory of linear control systems is constructed on the basis of the separation theorem and the concept of a reachability set. The authors prove the closure of a reachability set in the class of piecewise continuous controls, and the problems of controllability, observability, identification, performance and terminal control are also considered. The second part of the course is devoted to nonlinear control systems. Using the method of variations and the Lagrange multipliers rule of nonlinear problems, the authors prove the Pontryagin maximum principle for prob...
Cyclic Railway Timetabling: a Stochastic Optimization Approach
L.G. Kroon (Leo); R. Dekker (Rommert); M.J.C.M. Vromans (Michiel)
2005-01-01
textabstractReal-time railway operations are subject to stochastic disturbances. However, a railway timetable is a deterministic plan. Thus a timetable should be designed in such a way that it can absorb the stochastic disturbances as well as possible. To that end, a timetable contains buffer times
Real-Time Optimization in Complex Stochastic Environment
2015-06-24
proved that elliptical trajectories outperform linear ones [41]. With this motivation, we formulated a parametric optimization problem in which we seek...to determine such optimal elliptical trajectories and then showed that the problem can again be solved using IPA to obtain performance gradients on...we have incorporated a stochastic comparison algorithm for deriving globally optimal elliptical trajectories . Our approach allows for
Stochastic Modeling and Optimization in a Microgrid: A Survey
Directory of Open Access Journals (Sweden)
Hao Liang
2014-03-01
Full Text Available The future smart grid is expected to be an interconnected network of small-scale and self-contained microgrids, in addition to a large-scale electric power backbone. By utilizing microsources, such as renewable energy sources and combined heat and power plants, microgrids can supply electrical and heat loads in local areas in an economic and environment friendly way. To better adopt the intermittent and weather-dependent renewable power generation, energy storage devices, such as batteries, heat buffers and plug-in electric vehicles (PEVs with vehicle-to-grid systems can be integrated in microgrids. However, significant technical challenges arise in the planning, operation and control of microgrids, due to the randomness in renewable power generation, the buffering effect of energy storage devices and the high mobility of PEVs. The two-way communication functionalities of the future smart grid provide an opportunity to address these challenges, by offering the communication links for microgrid status information collection. However, how to utilize stochastic modeling and optimization tools for efficient, reliable and economic planning, operation and control of microgrids remains an open issue. In this paper, we investigate the key features of microgrids and provide a comprehensive literature survey on the stochastic modeling and optimization tools for a microgrid. Future research directions are also identified.
High-resolution optimal quantization for stochastic pooling networks
McDonnell, Mark D.; Amblard, Pierre-Olivier; Stocks, Nigel G.; Zozor, Steeve; Abbott, Derek
2007-01-01
Pooling networks of noisy threshold devices are good models for natural networks (e.g. neural networks in some parts of sensory pathways in vertebrates, networks of mossy fibers in the hippothalamus, . . . ) as well as for artificial networks (e.g. digital beamformers for sonar arrays, flash analog-to-digital converters, rate-constrained distributed sensor networks, . . . ). Such pooling networks exhibit the curious effect of suprathreshold stochastic resonance, which means that an optimal stochastic control of the network exists. Recently, some progress has been made in understanding pooling networks of identical, but independently noisy, threshold devices. One aspect concerns the behavior of information processing in the asymptotic limit of large networks, which is a limit of high relevance for neuroscience applications. The mutual information between the input and the output of the network has been evaluated, and its extremization has been performed. The aim of the present work is to extend these asymptotic results to study the more general case when the threshold values are no longer identical. In this situation, the values of thresholds can be described by a density, rather than by exact locations. We present a derivation of Shannon's mutual information between the input and output of these networks. The result is an approximation that relies a weak version of the law of large numbers, and a version of the central limit theorem. Optimization of the mutual information is then discussed.
Stochastic control of traffic patterns
DEFF Research Database (Denmark)
Gaididei, Yuri B.; Gorria, Carlos; Berkemer, Rainer
2013-01-01
A stochastic modulation of the safety distance can reduce traffic jams. It is found that the effect of random modulation on congestive flow formation depends on the spatial correlation of the noise. Jam creation is suppressed for highly correlated noise. The results demonstrate the advantage...
Symposium on Optimal Control Theory
1987-01-01
Control theory can be roughly classified as deterministic or stochastic. Each of these can further be subdivided into game theory and optimal control theory. The central problem of control theory is the so called constrained maximization (which- with slight modifications--is equivalent to minimization). One can then say, heuristically, that the major problem of control theory is to find the maximum of some performance criterion (or criteria), given a set of constraints. The starting point is, of course, a mathematical representation of the performance criterion (or criteria)- sometimes called the objective functional--along with the constraints. When the objective functional is single valued (Le. , when there is only one objective to be maximized), then one is dealing with optimal control theory. When more than one objective is involved, and the objectives are generally incompatible, then one is dealing with game theory. The first paper deals with stochastic optimal control, using the dynamic programming ...
Optimal Computing Budget Allocation for Particle Swarm Optimization in Stochastic Optimization.
Zhang, Si; Xu, Jie; Lee, Loo Hay; Chew, Ek Peng; Wong, Wai Peng; Chen, Chun-Hung
2017-04-01
Particle Swarm Optimization (PSO) is a popular metaheuristic for deterministic optimization. Originated in the interpretations of the movement of individuals in a bird flock or fish school, PSO introduces the concept of personal best and global best to simulate the pattern of searching for food by flocking and successfully translate the natural phenomena to the optimization of complex functions. Many real-life applications of PSO cope with stochastic problems. To solve a stochastic problem using PSO, a straightforward approach is to equally allocate computational effort among all particles and obtain the same number of samples of fitness values. This is not an efficient use of computational budget and leaves considerable room for improvement. This paper proposes a seamless integration of the concept of optimal computing budget allocation (OCBA) into PSO to improve the computational efficiency of PSO for stochastic optimization problems. We derive an asymptotically optimal allocation rule to intelligently determine the number of samples for all particles such that the PSO algorithm can efficiently select the personal best and global best when there is stochastic estimation noise in fitness values. We also propose an easy-to-implement sequential procedure. Numerical tests show that our new approach can obtain much better results using the same amount of computational effort.
Stochastic Control of Energy Efficient Buildings: A Semidefinite Programming Approach
Energy Technology Data Exchange (ETDEWEB)
Ma, Xiao [ORNL; Dong, Jin [ORNL; Djouadi, Seddik M [ORNL; Nutaro, James J [ORNL; Kuruganti, Teja [ORNL
2015-01-01
The key goal in energy efficient buildings is to reduce energy consumption of Heating, Ventilation, and Air- Conditioning (HVAC) systems while maintaining a comfortable temperature and humidity in the building. This paper proposes a novel stochastic control approach for achieving joint performance and power control of HVAC. We employ a constrained Stochastic Linear Quadratic Control (cSLQC) by minimizing a quadratic cost function with a disturbance assumed to be Gaussian. The problem is formulated to minimize the expected cost subject to a linear constraint and a probabilistic constraint. By using cSLQC, the problem is reduced to a semidefinite optimization problem, where the optimal control can be computed efficiently by Semidefinite programming (SDP). Simulation results are provided to demonstrate the effectiveness and power efficiency by utilizing the proposed control approach.
Stochastic Control of Inertial Sea Wave Energy Converter
Directory of Open Access Journals (Sweden)
Mattia Raffero
2015-01-01
Full Text Available The ISWEC (inertial sea wave energy converter is presented, its control problems are stated, and an optimal control strategy is introduced. As the aim of the device is energy conversion, the mean absorbed power by ISWEC is calculated for a plane 2D irregular sea state. The response of the WEC (wave energy converter is driven by the sea-surface elevation, which is modeled by a stationary and homogeneous zero mean Gaussian stochastic process. System equations are linearized thus simplifying the numerical model of the device. The resulting response is obtained as the output of the coupled mechanic-hydrodynamic model of the device. A stochastic suboptimal controller, derived from optimal control theory, is defined and applied to ISWEC. Results of this approach have been compared with the ones obtained with a linear spring-damper controller, highlighting the capability to obtain a higher value of mean extracted power despite higher power peaks.
A nonparametric stochastic optimizer for TDMA-based neuronal signaling.
Suzuki, Junichi; Phan, Dũng H; Budiman, Harry
2014-09-01
This paper considers neurons as a physical communication medium for intrabody networks of nano/micro-scale machines and formulates a noisy multiobjective optimization problem for a Time Division Multiple Access (TDMA) communication protocol atop the physical layer. The problem is to find the Pareto-optimal TDMA configurations that maximize communication performance (e.g., latency) by multiplexing a given neuronal network to parallelize signal transmissions while maximizing communication robustness (i.e., unlikeliness of signal interference) against noise in neuronal signaling. Using a nonparametric significance test, the proposed stochastic optimizer is designed to statistically determine the superior-inferior relationship between given two solution candidates and seek the optimal trade-offs among communication performance and robustness objectives. Simulation results show that the proposed optimizer efficiently obtains quality TDMA configurations in noisy environments and outperforms existing noise-aware stochastic optimizers.
Adaptive Stochastic Disturbance Accommodating Control
2010-05-01
obtained from the Stratonovich integral equation converges a.s. and uniformly to that obtained from the Itô integral equation . For more details please...edition. Appleby, J. A. D., 2002: Almost sure stability of linear itô- volterra equations with damped stochastic perturbations. Electronic Communications...the linear operator L(·) and the covariance of the white noise process V(t), are unknown. The measurement equation is given as Y(t) = CX(t) +V(t) (3
National Research Council Canada - National Science Library
Evangelos A Theodorou
2015-01-01
In this paper, we present connections between recent developments on the linearly-solvable stochastic optimal control framework with early work in control theory based on the fundamental dualities...
H∞ Gain-Scheduled Control for LPV Stochastic Systems
Directory of Open Access Journals (Sweden)
Cheung-Chieh Ku
2015-01-01
Full Text Available A robust control problem for discrete-time uncertain stochastic systems is discussed via gain-scheduled control scheme subject to H∞ attenuation performance. Applying Linear Parameter Varying (LPV modeling approach and stochastic difference equation, the uncertain stochastic systems can be described by combining time-varying weighting function and linear systems with multiplicative noise terms. Due to the consideration of stochastic behavior, the stability in the sense of mean square is applied for the system. Furthermore, two kinds of Lyapunov functions are employed to derive their corresponding sufficient conditions to solve the stabilization problems of this paper. In order to use convex optimization algorithm, the derived conditions are converted into Linear Matrix Inequality (LMI form. Via solving those conditions, the gain-scheduled controller can be established such that the robust asymptotical stability and H∞ performance of the disturbed uncertain stochastic system can be achieved in the sense of mean square. Finally, two numerical examples are applied to demonstrate the effectiveness and applicability of the proposed design method.
Scheduling Internal Audit Activities: A Stochastic Combinatorial Optimization Problem
Rossi, R.; Tarim, S.A.; Hnich, B.; Prestwich, S.; Karacaer, S.
2010-01-01
The problem of finding the optimal timing of audit activities within an organisation has been addressed by many researchers. We propose a stochastic programming formulation with Mixed Integer Linear Programming (MILP) and Constraint Programming (CP) certainty-equivalent models. In experiments
Synthesis and stochastic assessment of cost-optimal schedules
Mader, Angelika H.; Bohnenkamp, H.C.; Usenko, Y.S.; Jansen, D.N.; Hurink, Johann L.; Hermanns, H.
We treat the problem of generating cost-optimal schedules for orders with individual due dates and cost functions based on earliness/tardiness. Orders can run in parallel in a resource-constrained manufacturing environment, where resources are subject to stochastic breakdowns. The goal is to
Stochastic Modelling and Optimization of Complex Infrastructure Systems
DEFF Research Database (Denmark)
Thoft-Christensen, Palle
In this paper it is shown that recent progress in stochastic modelling and optimization in combination with advanced computer systems has now made it possible to improve the design and the maintenance strategies for infrastructure systems. The paper concentrates on highway networks and single large...
Optimal Tax Reduction by Depreciation : A Stochastic Model
Berg, M.; De Waegenaere, A.M.B.; Wielhouwer, J.L.
1996-01-01
This paper focuses on the choice of a depreciation method, when trying to minimize the expected value of the present value of future tax payments.In a quite general model that allows for stochastic future cash- ows and a tax structure with tax brackets, we determine the optimal choice between the
Stochastic optimization-based study of dimerization kinetics
Indian Academy of Sciences (India)
We investigate the potential of numerical algorithms to decipher the kinetic parameters involved in multi-step chemical reactions. To this end, we study dimerization kinetics of protein as a model system. We follow the dimerization kinetics using a stochastic simulation algorithm and combine it with three different optimization ...
PARAMETER IDENTIFICATION AND STOCHASTIC CONTROL ...
African Journals Online (AJOL)
corrupted system. The approach taken i8 that of optimal prediction based on the solution of a linear Diophantine equation. INTRODUCTION. Real systems are generally quite complex, not only because they may need high order equations to describe.
Estimation of subsurface geomodels by multi-objective stochastic optimization
Emami Niri, Mohammad; Lumley, David E.
2016-06-01
We present a new method to estimate subsurface geomodels using a multi-objective stochastic search technique that allows a variety of direct and indirect measurements to simultaneously constrain the earth model. Inherent uncertainties and noise in real data measurements may result in conflicting geological and geophysical datasets for a given area; a realistic earth model can then only be produced by combining the datasets in a defined optimal manner. One approach to solving this problem is by joint inversion of the various geological and/or geophysical datasets, and estimating an optimal model by optimizing a weighted linear combination of several separate objective functions which compare simulated and observed datasets. In the present work, we consider the joint inversion of multiple datasets for geomodel estimation, as a multi-objective optimization problem in which separate objective functions for each subset of the observed data are defined, followed by an unweighted simultaneous stochastic optimization to find the set of best compromise model solutions that fits the defined objectives, along the so-called ;Pareto front;. We demonstrate that geostatistically constrained initializations of the algorithm improves convergence speed and produces superior geomodel solutions. We apply our method to a 3D reservoir lithofacies model estimation problem which is constrained by a set of geological and geophysical data measurements and attributes, and assess the sensitivity of the resulting geomodels to changes in the parameters of the stochastic optimization algorithm and the presence of realistic seismic noise conditions.
Enhancement of Stochastic Resonance Using Optimization Theory
National Research Council Canada - National Science Library
Wu, Xingxing; Jiang, Zhong-Ping; Repperger, Daniel W; Guo, Yi
2006-01-01
.... The further improvement of the maximal normalized power norm of the bistable double-well dynamic system with white Gaussian noise input can be converted to an optimization problem with constraints...
Stochastic Optimal Prediction with Application to Averaged Euler Equations
Energy Technology Data Exchange (ETDEWEB)
Bell, John [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Chorin, Alexandre J. [Univ. of California, Berkeley, CA (United States); Crutchfield, William [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)
2017-04-24
Optimal prediction (OP) methods compensate for a lack of resolution in the numerical solution of complex problems through the use of an invariant measure as a prior measure in the Bayesian sense. In first-order OP, unresolved information is approximated by its conditional expectation with respect to the invariant measure. In higher-order OP, unresolved information is approximated by a stochastic estimator, leading to a system of random or stochastic differential equations. We explain the ideas through a simple example, and then apply them to the solution of Averaged Euler equations in two space dimensions.
Adaptive recursive algorithm for optimal weighted suprathreshold stochastic resonance
Xu, Liyan; Duan, Fabing; Gao, Xiao; Abbott, Derek; McDonnell, Mark D.
2017-09-01
Suprathreshold stochastic resonance (SSR) is a distinct form of stochastic resonance, which occurs in multilevel parallel threshold arrays with no requirements on signal strength. In the generic SSR model, an optimal weighted decoding scheme shows its superiority in minimizing the mean square error (MSE). In this study, we extend the proposed optimal weighted decoding scheme to more general input characteristics by combining a Kalman filter and a least mean square (LMS) recursive algorithm, wherein the weighted coefficients can be adaptively adjusted so as to minimize the MSE without complete knowledge of input statistics. We demonstrate that the optimal weighted decoding scheme based on the Kalman-LMS recursive algorithm is able to robustly decode the outputs from the system in which SSR is observed, even for complex situations where the signal and noise vary over time.
Adaptive wavefront control with asynchronous stochastic parallel gradient descent clusters.
Vorontsov, Mikhail A; Carhart, Gary W
2006-10-01
A scalable adaptive optics (AO) control system architecture composed of asynchronous control clusters based on the stochastic parallel gradient descent (SPGD) optimization technique is discussed. It is shown that subdivision of the control channels into asynchronous SPGD clusters improves the AO system performance by better utilizing individual and/or group characteristics of adaptive system components. Results of numerical simulations are presented for two different adaptive receiver systems based on asynchronous SPGD clusters-one with a single deformable mirror with Zernike response functions and a second with tip-tilt and segmented wavefront correctors. We also discuss adaptive wavefront control based on asynchronous parallel optimization of several local performance metrics-a control architecture referred to as distributed adaptive optics (DAO). Analysis of the DAO system architecture demonstrated the potential for significant increase of the adaptation process convergence rate that occurs due to partial decoupling of the system control clusters optimizing individual performance metrics.
Stochastic Optimization for Nuclear Facility Deployment Scenarios
Hays, Ross Daniel
Single-use, low-enriched uranium oxide fuel, consumed through several cycles in a light-water reactor (LWR) before being disposed, has become the dominant source of commercial-scale nuclear electric generation in the United States and throughout the world. However, it is not without its drawbacks and is not the only potential nuclear fuel cycle available. Numerous alternative fuel cycles have been proposed at various times which, through the use of different reactor and recycling technologies, offer to counteract many of the perceived shortcomings with regards to waste management, resource utilization, and proliferation resistance. However, due to the varying maturity levels of these technologies, the complicated material flow feedback interactions their use would require, and the large capital investments in the current technology, one should not deploy these advanced designs without first investigating the potential costs and benefits of so doing. As the interactions among these systems can be complicated, and the ways in which they may be deployed are many, the application of automated numerical optimization to the simulation of the fuel cycle could potentially be of great benefit to researchers and interested policy planners. To investigate the potential of these methods, a computational program has been developed that applies a parallel, multi-objective simulated annealing algorithm to a computational optimization problem defined by a library of relevant objective functions applied to the Ver ifiable Fuel Cycle Simulati on Model (VISION, developed at the Idaho National Laboratory). The VISION model, when given a specified fuel cycle deployment scenario, computes the numbers and types of, and construction, operation, and utilization schedules for, the nuclear facilities required to meet a predetermined electric power demand function. Additionally, it calculates the location and composition of the nuclear fuels within the fuel cycle, from initial mining through
Discrete stochastic processes and optimal filtering
Bertein, Jean-Claude
2012-01-01
Optimal filtering applied to stationary and non-stationary signals provides the most efficient means of dealing with problems arising from the extraction of noise signals. Moreover, it is a fundamental feature in a range of applications, such as in navigation in aerospace and aeronautics, filter processing in the telecommunications industry, etc. This book provides a comprehensive overview of this area, discussing random and Gaussian vectors, outlining the results necessary for the creation of Wiener and adaptive filters used for stationary signals, as well as examining Kalman filters which ar
Reliability-Based Shape Optimization using Stochastic Finite Element Methods
DEFF Research Database (Denmark)
Enevoldsen, Ib; Sørensen, John Dalsgaard; Sigurdsson, G.
1991-01-01
(7). In this paper a reliability-based shape optimization problem is formulated with the total expected cost as objective function and some requirements for the reliability measures (element or systems reliability measures) as constraints, see section 2. As design variables sizing variables......Application of first-order reliability methods FORM (see Madsen, Krenk & Lind [8)) in structural design problems has attracted growing interest in recent years, see e.g. Frangopol [4), Murotsu, Kishi, Okada, Yonezawa & Taguchi [9) and Sørensen [14). In probabilistically based optimal design...... stochastic fields (e.g. loads and material parameters such as Young's modulus and the Poisson ratio). In this case stochastic finite element techniques combined with FORM analysis can be used to obtain measures of the reliability of the structural systems, see Der Kiureghian & Ke (6) and Liu & Der Kiureghian...
Using linear programming to analyze and optimize stochastic flow lines
DEFF Research Database (Denmark)
Helber, Stefan; Schimmelpfeng, Katja; Stolletz, Raik
2011-01-01
, to determine a production rate estimate. As our methodology is purely numerical, it offers the full modeling flexibility of stochastic simulation with respect to the probability distribution of processing times. However, unlike discrete-event simulation models, it also offers the optimization power of linear......This paper presents a linear programming approach to analyze and optimize flow lines with limited buffer capacities and stochastic processing times. The basic idea is to solve a huge but simple linear program that models an entire simulation run of a multi-stage production process in discrete time...... programming and hence allows us to solve buffer allocation problems. We show under which conditions our method works well by comparing its results to exact values for two-machine models and approximate simulation results for longer lines....
Stochastic wind turbine control in multiblade coordinates
DEFF Research Database (Denmark)
Thomsen, Sven Creutz; Niemann, Hans Henrik; Poulsen, Niels Kjølstad
2010-01-01
pitch controller design. In this way the variability of the wind can be estimated and compensated for by the controller. The wind turbine model is in general time-variant due to its rotational nature. For this reason the modeling and control is carried out in so-called multiblade coordinates......In this paper we consider wind turbine load attenuation through model based control. Asymmetric loads caused by the wind field can be reduced by pitching the blades individually. To this end we investigate the use of stochastic models of the wind which can be included in a model based individual...
STP: A Stochastic Tunneling Algorithm for Global Optimization
Energy Technology Data Exchange (ETDEWEB)
Oblow, E.M.
1999-05-20
A stochastic approach to solving continuous function global optimization problems is presented. It builds on the tunneling approach to deterministic optimization presented by Barhen et al, by combining a series of local descents with stochastic searches. The method uses a rejection-based stochastic procedure to locate new local minima descent regions and a fixed Lipschitz-like constant to reject unpromising regions in the search space, thereby increasing the efficiency of the tunneling process. The algorithm is easily implemented in low-dimensional problems and scales easily to large problems. It is less effective without further heuristics in these latter cases, however. Several improvements to the basic algorithm which make use of approximate estimates of the algorithms parameters for implementation in high-dimensional problems are also discussed. Benchmark results are presented, which show that the algorithm is competitive with the best previously reported global optimization techniques. A successful application of the approach to a large-scale seismology problem of substantial computational complexity using a low-dimensional approximation scheme is also reported.
A General Theory of Markovian Time Inconsistent Stochastic Control Problems
DEFF Research Database (Denmark)
Björk, Tomas; Murgochi, Agatha
. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of on-linear equations, for the determination for the equilibrium strategy as well as the equilibrium value function. All known......We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points...... examples of time inconsistency in the literature are easily seen to be special cases of the present theory. We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem...
Risk-sensitive control of stochastic hybrid systems on infinite time horizon
Thordur Runolfsson
1999-01-01
A risk-sensitive optimal control problem is considered for a hybrid system that consists of continuous time diffusion process that depends on a discrete valued mode variable that is modeled as a Markov chain. Optimality conditions are presented and conditions for the existence of optimal controls are derived. It is shown that the optimal risk-sensitive control problem is equivalent to the upper value of an associated stochastic differential game, and insight into the contributions of the nois...
Directory of Open Access Journals (Sweden)
M. Boychuk
2015-10-01
Full Text Available The activity of distribution companies is multifaceted. Ihey establish contacts with producers and consumers, determine the range of prices of medicines, do promotions, hold stocks of pharmaceuticals and take risks in their further selling.Their internal problems are complicated by the political crisis in the country, decreased purchasing power of national currency, and the rise in interest rates on loans. Therefore the usage of stochastic models of dynamic systems for the research into optimizing the management of pharmaceutical products distribution companies taking into account credit payments is of great current interest. A stochastic model of the optimal credit strategy of a pharmaceutical distributor in the market of pharmaceutical products has been constructed in the article considering credit payments and income limitations. From the mathematical point of view the obtained problem is the one of stochastic optimal control where the amount of monetary credit is the control and the amount of pharmaceutical product is the solution curve. The model allows to identify the optimal cash loan and the corresponding optimal quantity of pharmaceutical product that comply with the differential model of the existing quantity of pharmaceutical products in the form of Ito; the condition of the existing initial stock of pharmaceutical products; the limitation on the amount of credit and profit received from the product selling and maximize the average integral income. The research of the stochastic optimal control problem involves the construction of the left process of crediting with determination of the shift point of that control, the choice of the right crediting process and the formation of the optimal credit process. It was found that the optimal control of the credit amount and the shift point of that control are the determined values and don’t depend on the coefficient in the Wiener process and the optimal trajectory of the amount of
Local Approximation and Hierarchical Methods for Stochastic Optimization
Cheng, Bolong
In this thesis, we present local and hierarchical approximation methods for two classes of stochastic optimization problems: optimal learning and Markov decision processes. For the optimal learning problem class, we introduce a locally linear model with radial basis function for estimating the posterior mean of the unknown objective function. The method uses a compact representation of the function which avoids storing the entire history, as is typically required by nonparametric methods. We derive a knowledge gradient policy with the locally parametric model, which maximizes the expected value of information. We show the policy is asymptotically optimal in theory, and experimental works suggests that the method can reliably find the optimal solution on a range of test functions. For the Markov decision processes problem class, we are motivated by an application where we want to co-optimize a battery for multiple revenue, in particular energy arbitrage and frequency regulation. The nature of this problem requires the battery to make charging and discharging decisions at different time scales while accounting for the stochastic information such as load demand, electricity prices, and regulation signals. Computing the exact optimal policy becomes intractable due to the large state space and the number of time steps. We propose two methods to circumvent the computation bottleneck. First, we propose a nested MDP model that structure the co-optimization problem into smaller sub-problems with reduced state space. This new model allows us to understand how the battery behaves down to the two-second dynamics (that of the frequency regulation market). Second, we introduce a low-rank value function approximation for backward dynamic programming. This new method only requires computing the exact value function for a small subset of the state space and approximate the entire value function via low-rank matrix completion. We test these methods on historical price data from the
Directory of Open Access Journals (Sweden)
Hong-an Yang
2014-01-01
Full Text Available We focus on solving Stochastic Job Shop Scheduling Problem (SJSSP with random processing time to minimize the expected sum of earliness and tardiness costs of all jobs. To further enhance the efficiency of the simulation optimization technique of embedding Evolutionary Strategy in Ordinal Optimization (ESOO which is based on Monte Carlo simulation, we embed Optimal Computing Budget Allocation (OCBA technique into the exploration stage of ESOO to optimize the performance evaluation process by controlling the allocation of simulation times. However, while pursuing a good set of schedules, “super individuals,” which can absorb most of the given computation while others hardly get any simulation budget, may emerge according to the allocating equation of OCBA. Consequently, the schedules cannot be evaluated exactly, and thus the probability of correct selection (PCS tends to be low. Therefore, we modify OCBA to balance the computation allocation: (1 set a threshold of simulation times to detect “super individuals” and (2 follow an exclusion mechanism to marginalize them. Finally, the proposed approach is applied to an SJSSP comprising 8 jobs on 8 machines with random processing time in truncated normal, uniform, and exponential distributions, respectively. The results demonstrate that our method outperforms the ESOO method by achieving better solutions.
Stochastic optimal operation of reservoirs based on copula functions
Lei, Xiao-hui; Tan, Qiao-feng; Wang, Xu; Wang, Hao; Wen, Xin; Wang, Chao; Zhang, Jing-wen
2018-02-01
Stochastic dynamic programming (SDP) has been widely used to derive operating policies for reservoirs considering streamflow uncertainties. In SDP, there is a need to calculate the transition probability matrix more accurately and efficiently in order to improve the economic benefit of reservoir operation. In this study, we proposed a stochastic optimization model for hydropower generation reservoirs, in which 1) the transition probability matrix was calculated based on copula functions; and 2) the value function of the last period was calculated by stepwise iteration. Firstly, the marginal distribution of stochastic inflow in each period was built and the joint distributions of adjacent periods were obtained using the three members of the Archimedean copulas, based on which the conditional probability formula was derived. Then, the value in the last period was calculated by a simple recursive equation with the proposed stepwise iteration method and the value function was fitted with a linear regression model. These improvements were incorporated into the classic SDP and applied to the case study in Ertan reservoir, China. The results show that the transition probability matrix can be more easily and accurately obtained by the proposed copula function based method than conventional methods based on the observed or synthetic streamflow series, and the reservoir operation benefit can also be increased.
The maximum principle in optimal control of systems driven by ...
African Journals Online (AJOL)
We study the relaxed optimal stochastic control problem for systems governed by stochastic differential equations (SDEs), driven by an orthogonal continuous martingale measure, where the control is allowed to enter both the drift and diffusion coeffcient. The set of admissible controls is a set of measure-valued processes.
Stochastic Optimization for Unit Commitment-A Review
Energy Technology Data Exchange (ETDEWEB)
Zheng, Qipeng P.; Wang, Jianhui; Liu, Andrew L.
2015-07-01
Optimization models have been widely used in the power industry to aid the decision-making process of scheduling and dispatching electric power generation resources, a process known as unit commitment (UC). Since UC's birth, there have been two major waves of revolution on UC research and real life practice. The first wave has made mixed integer programming stand out from the early solution and modeling approaches for deterministic UC, such as priority list, dynamic programming, and Lagrangian relaxation. With the high penetration of renewable energy, increasing deregulation of the electricity industry, and growing demands on system reliability, the next wave is focused on transitioning from traditional deterministic approaches to stochastic optimization for unit commitment. Since the literature has grown rapidly in the past several years, this paper is to review the works that have contributed to the modeling and computational aspects of stochastic optimization (SO) based UC. Relevant lines of future research are also discussed to help transform research advances into real-world applications.
Optimizing ZigBee Security using Stochastic Model Checking
DEFF Research Database (Denmark)
Yuksel, Ender; Nielson, Hanne Riis; Nielson, Flemming
ZigBee is a fairly new but promising wireless sensor network standard that offers the advantages of simple and low resource communication. Nevertheless, security is of great concern to ZigBee, and enhancements are prescribed in the latest ZigBee specication: ZigBee-2007. In this technical report......, we identify an important gap in the specification on key updates, and present a methodology for determining optimal key update policies and security parameters. We exploit the stochastic model checking approach using the probabilistic model checker PRISM, and assess the security needs for realistic...
Mortgage Loan Portfolio Optimization Using Multi-Stage Stochastic Programming
DEFF Research Database (Denmark)
Rasmussen, Kourosh Marjani; Clausen, Jens
2007-01-01
We consider the dynamics of the Danish mortgage loan system and propose several models to reflect the choices of a mortgagor as well as his attitude towards risk. The models are formulated as multi stage stochastic integer programs, which are difficult to solve for more than 10 stages. Scenario...... reduction and LP relaxation are used to obtain near optimal solutions for large problem instances. Our results show that the standard Danish mortgagor should hold a more diversified portfolio of mortgage loans, and that he should rebalance the portfolio more frequently than current practice....
Stochastic simulation and robust design optimization of integrated photonic filters
Directory of Open Access Journals (Sweden)
Weng Tsui-Wei
2016-07-01
Full Text Available Manufacturing variations are becoming an unavoidable issue in modern fabrication processes; therefore, it is crucial to be able to include stochastic uncertainties in the design phase. In this paper, integrated photonic coupled ring resonator filters are considered as an example of significant interest. The sparsity structure in photonic circuits is exploited to construct a sparse combined generalized polynomial chaos model, which is then used to analyze related statistics and perform robust design optimization. Simulation results show that the optimized circuits are more robust to fabrication process variations and achieve a reduction of 11%–35% in the mean square errors of the 3 dB bandwidth compared to unoptimized nominal designs.
Laser control of molecular excitations in stochastic dissipative media.
Tremblay, Jean Christophe
2011-05-07
In the present work, ideas for controlling photochemical reactions in dissipative environments using shaped laser pulses are presented. New time-local control algorithms for the stochastic Schrödinger equation are introduced and compared to their reduced density matrix analog. The numerical schemes rely on time-dependent targets for guiding the reaction along a preferred path. The methods are tested on the vibrational control of adsorbates at metallic surfaces and on the ultrafast electron dynamics in a strong dissipative medium. The selective excitation of the specific states is achieved with improved yield when using the new algorithms. Both methods exhibit similar convergence behavior and results compare well with those obtained using local optimal control for the reduced density matrix. The favorable scaling of the methods allows to tackle larger systems and to control photochemical reactions in dissipative media of molecules with many more degrees of freedom.
Optimal control of hydroelectric facilities
Zhao, Guangzhi
This thesis considers a simple yet realistic model of pump-assisted hydroelectric facilities operating in a market with time-varying but deterministic power prices. Both deterministic and stochastic water inflows are considered. The fluid mechanical and engineering details of the facility are described by a model containing several parameters. We present a dynamic programming algorithm for optimizing either the total energy produced or the total cash generated by these plants. The algorithm allows us to give the optimal control strategy as a function of time and to see how this strategy, and the associated plant value, varies with water inflow and electricity price. We investigate various cases. For a single pumped storage facility experiencing deterministic power prices and water inflows, we investigate the varying behaviour for an oversimplified constant turbine- and pump-efficiency model with simple reservoir geometries. We then generalize this simple model to include more realistic turbine efficiencies, situations with more complicated reservoir geometry, and the introduction of dissipative switching costs between various control states. We find many results which reinforce our physical intuition about this complicated system as well as results which initially challenge, though later deepen, this intuition. One major lesson of this work is that the optimal control strategy does not differ much between two differing objectives of maximizing energy production and maximizing its cash value. We then turn our attention to the case of stochastic water inflows. We present a stochastic dynamic programming algorithm which can find an on-average optimal control in the face of this randomness. As the operator of a facility must be more cautious when inflows are random, the randomness destroys facility value. Following this insight we quantify exactly how much a perfect hydrological inflow forecast would be worth to a dam operator. In our final chapter we discuss the
A New Control Paradigm for Stochastic Differential Equations
Schmid, Matthias J. A.
This study presents a novel comprehensive approach to the control of dynamic systems under uncertainty governed by stochastic differential equations (SDEs). Large Deviations (LD) techniques are employed to arrive at a control law for a large class of nonlinear systems minimizing sample path deviations. Thereby, a paradigm shift is suggested from point-in-time to sample path statistics on function spaces. A suitable formal control framework which leverages embedded Freidlin-Wentzell theory is proposed and described in detail. This includes the precise definition of the control objective and comprises an accurate discussion of the adaptation of the Freidlin-Wentzell theorem to the particular situation. The new control design is enabled by the transformation of an ill-posed control objective into a well-conditioned sequential optimization problem. A direct numerical solution process is presented using quadratic programming, but the emphasis is on the development of a closed-form expression reflecting the asymptotic deviation probability of a particular nominal path. This is identified as the key factor in the success of the new paradigm. An approach employing the second variation and the differential curvature of the effective action is suggested for small deviation channels leading to the Jacobi field of the rate function and the subsequently introduced Jacobi field performance measure. This closed-form solution is utilized in combination with the supplied parametrization of the objective space. For the first time, this allows for an LD based control design applicable to a large class of nonlinear systems. Thus, Minimum Large Deviations (MLD) control is effectively established in a comprehensive structured framework. The construction of the new paradigm is completed by an optimality proof for the Jacobi field performance measure, an interpretive discussion, and a suggestion for efficient implementation. The potential of the new approach is exhibited by its extension
Stochastic control of infinite dimensional systems in Hilbert space: A factorization perspective
Milman, Mark M.; Schumitzky, Alan
1987-01-01
A factorization perspective on problems of optimal causal estimation and optimal causal control of linear stochastic systems defined on an infinite-dimensional Hilbert space is presented. A separation principle is derived for the case in which the system input/output map is generated by an abstract evolution operator. The factorization formalism allows for an essentially algebraic approach to these problems.
Using genetic algorithm to solve a new multi-period stochastic optimization model
Zhang, Xin-Li; Zhang, Ke-Cun
2009-09-01
This paper presents a new asset allocation model based on the CVaR risk measure and transaction costs. Institutional investors manage their strategic asset mix over time to achieve favorable returns subject to various uncertainties, policy and legal constraints, and other requirements. One may use a multi-period portfolio optimization model in order to determine an optimal asset mix. Recently, an alternative stochastic programming model with simulated paths was proposed by Hibiki [N. Hibiki, A hybrid simulation/tree multi-period stochastic programming model for optimal asset allocation, in: H. Takahashi, (Ed.) The Japanese Association of Financial Econometrics and Engineering, JAFFE Journal (2001) 89-119 (in Japanese); N. Hibiki A hybrid simulation/tree stochastic optimization model for dynamic asset allocation, in: B. Scherer (Ed.), Asset and Liability Management Tools: A Handbook for Best Practice, Risk Books, 2003, pp. 269-294], which was called a hybrid model. However, the transaction costs weren't considered in that paper. In this paper, we improve Hibiki's model in the following aspects: (1) The risk measure CVaR is introduced to control the wealth loss risk while maximizing the expected utility; (2) Typical market imperfections such as short sale constraints, proportional transaction costs are considered simultaneously. (3) Applying a genetic algorithm to solve the resulting model is discussed in detail. Numerical results show the suitability and feasibility of our methodology.
A stochastic discrete optimization model for designing container terminal facilities
Zukhruf, Febri; Frazila, Russ Bona; Burhani, Jzolanda Tsavalista
2017-11-01
As uncertainty essentially affect the total transportation cost, it remains important in the container terminal that incorporates several modes and transshipments process. This paper then presents a stochastic discrete optimization model for designing the container terminal, which involves the decision of facilities improvement action. The container terminal operation model is constructed by accounting the variation of demand and facilities performance. In addition, for illustrating the conflicting issue that practically raises in the terminal operation, the model also takes into account the possible increment delay of facilities due to the increasing number of equipment, especially the container truck. Those variations expectantly reflect the uncertainty issue in the container terminal operation. A Monte Carlo simulation is invoked to propagate the variations by following the observed distribution. The problem is constructed within the framework of the combinatorial optimization problem for investigating the optimal decision of facilities improvement. A new variant of glow-worm swarm optimization (GSO) is thus proposed for solving the optimization, which is rarely explored in the transportation field. The model applicability is tested by considering the actual characteristics of the container terminal.
Constant-complexity stochastic simulation algorithm with optimal binning
Sanft, Kevin R.; Othmer, Hans G.
2015-08-01
At the molecular level, biochemical processes are governed by random interactions between reactant molecules, and the dynamics of such systems are inherently stochastic. When the copy numbers of reactants are large, a deterministic description is adequate, but when they are small, such systems are often modeled as continuous-time Markov jump processes that can be described by the chemical master equation. Gillespie's Stochastic Simulation Algorithm (SSA) generates exact trajectories of these systems, but the amount of computational work required for each step of the original SSA is proportional to the number of reaction channels, leading to computational complexity that scales linearly with the problem size. The original SSA is therefore inefficient for large problems, which has prompted the development of several alternative formulations with improved scaling properties. We describe an exact SSA that uses a table data structure with event time binning to achieve constant computational complexity with respect to the number of reaction channels for weakly coupled reaction networks. We present a novel adaptive binning strategy and discuss optimal algorithm parameters. We compare the computational efficiency of the algorithm to existing methods and demonstrate excellent scaling for large problems. This method is well suited for generating exact trajectories of large weakly coupled models, including those that can be described by the reaction-diffusion master equation that arises from spatially discretized reaction-diffusion processes.
Constant-complexity stochastic simulation algorithm with optimal binning.
Sanft, Kevin R; Othmer, Hans G
2015-08-21
At the molecular level, biochemical processes are governed by random interactions between reactant molecules, and the dynamics of such systems are inherently stochastic. When the copy numbers of reactants are large, a deterministic description is adequate, but when they are small, such systems are often modeled as continuous-time Markov jump processes that can be described by the chemical master equation. Gillespie's Stochastic Simulation Algorithm (SSA) generates exact trajectories of these systems, but the amount of computational work required for each step of the original SSA is proportional to the number of reaction channels, leading to computational complexity that scales linearly with the problem size. The original SSA is therefore inefficient for large problems, which has prompted the development of several alternative formulations with improved scaling properties. We describe an exact SSA that uses a table data structure with event time binning to achieve constant computational complexity with respect to the number of reaction channels for weakly coupled reaction networks. We present a novel adaptive binning strategy and discuss optimal algorithm parameters. We compare the computational efficiency of the algorithm to existing methods and demonstrate excellent scaling for large problems. This method is well suited for generating exact trajectories of large weakly coupled models, including those that can be described by the reaction-diffusion master equation that arises from spatially discretized reaction-diffusion processes.
Momoh, James A.; Salkuti, Surender Reddy
2016-06-01
This paper proposes a stochastic optimization technique for solving the Voltage/VAr control problem including the load demand and Renewable Energy Resources (RERs) variation. The RERs often take along some inputs like stochastic behavior. One of the important challenges i. e., Voltage/VAr control is a prime source for handling power system complexity and reliability, hence it is the fundamental requirement for all the utility companies. There is a need for the robust and efficient Voltage/VAr optimization technique to meet the peak demand and reduction of system losses. The voltages beyond the limit may damage costly sub-station devices and equipments at consumer end as well. Especially, the RERs introduces more disturbances and some of the RERs are not even capable enough to meet the VAr demand. Therefore, there is a strong need for the Voltage/VAr control in RERs environment. This paper aims at the development of optimal scheme for Voltage/VAr control involving RERs. In this paper, Latin Hypercube Sampling (LHS) method is used to cover full range of variables by maximally satisfying the marginal distribution. Here, backward scenario reduction technique is used to reduce the number of scenarios effectively and maximally retain the fitting accuracy of samples. The developed optimization scheme is tested on IEEE 24 bus Reliability Test System (RTS) considering the load demand and RERs variation.
Stochastic Model Predictive Control with Applications in Smart Energy Systems
DEFF Research Database (Denmark)
Sokoler, Leo Emil; Edlund, Kristian; Mølbak, Tommy
2012-01-01
to cover more than 50% of the total consumption by 2050. Energy systems based on significant amounts of renewable energy sources are subject to uncertainties. To accommodate the need for model predictive control (MPC) of such systems, the effect of the stochastic effects on the constraints must...... function). This is convenient for energy systems, since some constraints are very important to satisfy with a high probability, whereas violation of others are less prone to have a large economic penalty. In MPC applications the control action is obtained by solving an optimization problem at each sampling......, we show that tailored interior point algorithms are well suited to handle this type of problems. Namely, by utilizing structure-exploiting methods, we implement a special-purpose solver for control of smart energy systems. The solver is compared against general-purpose implementations. As a case...
Controlled Nonlinear Stochastic Delay Equations: Part I: Modeling and Approximations
Energy Technology Data Exchange (ETDEWEB)
Kushner, Harold J., E-mail: hjk@dam.brown.edu [Brown University, Applied Math (United States)
2012-08-15
This two-part paper deals with 'foundational' issues that have not been previously considered in the modeling and numerical optimization of nonlinear stochastic delay systems. There are new classes of models, such as those with nonlinear functions of several controls (such as products), each with is own delay, controlled random Poisson measure driving terms, admissions control with delayed retrials, and others. There are two basic and interconnected themes for these models. The first, dealt with in this part, concerns the definition of admissible control. The classical definition of an admissible control as a nonanticipative relaxed control is inadequate for these models and needs to be extended. This is needed for the convergence proofs of numerical approximations for optimal controls as well as to have a well-defined model. It is shown that the new classes of admissible controls do not enlarge the range of the value functions, is closed (together with the associated paths) under weak convergence, and is approximatable by ordinary controls. The second theme, dealt with in Part II, concerns transportation equation representations, and their role in the development of numerical algorithms with much reduced memory and computational requirements.
Petra, Cosmin G.
2014-01-01
We present a scalable approach and implementation for solving stochastic optimization problems on high-performance computers. In this work we revisit the sparse linear algebra computations of the parallel solver PIPS with the goal of improving the shared-memory performance and decreasing the time to solution. These computations consist of solving sparse linear systems with multiple sparse right-hand sides and are needed in our Schur-complement decomposition approach to compute the contribution of each scenario to the Schur matrix. Our novel approach uses an incomplete augmented factorization implemented within the PARDISO linear solver and an outer BiCGStab iteration to efficiently absorb pivot perturbations occurring during factorization. This approach is capable of both efficiently using the cores inside a computational node and exploiting sparsity of the right-hand sides. We report on the performance of the approach on highperformance computers when solving stochastic unit commitment problems of unprecedented size (billions of variables and constraints) that arise in the optimization and control of electrical power grids. Our numerical experiments suggest that supercomputers can be efficiently used to solve power grid stochastic optimization problems with thousands of scenarios under the strict "real-time" requirements of power grid operators. To our knowledge, this has not been possible prior to the present work. © 2014 Society for Industrial and Applied Mathematics.
Optimal Rules for Single Machine Scheduling with Stochastic Breakdowns
Directory of Open Access Journals (Sweden)
Jinwei Gu
2014-01-01
Full Text Available This paper studies the problem of scheduling a set of jobs on a single machine subject to stochastic breakdowns, where jobs have to be restarted if preemptions occur because of breakdowns. The breakdown process of the machine is independent of the jobs processed on the machine. The processing times required to complete the jobs are constants if no breakdown occurs. The machine uptimes are independently and identically distributed (i.i.d. and are subject to a uniform distribution. It is proved that the Longest Processing Time first (LPT rule minimizes the expected makespan. For the large-scale problem, it is also showed that the Shortest Processing Time first (SPT rule is optimal to minimize the expected total completion times of all jobs.
Stochastic receding horizon control: application to an octopedal robot
Shah, Shridhar K.; Tanner, Herbert G.
2013-06-01
Miniature autonomous systems are being developed under ARL's Micro Autonomous Systems and Technology (MAST). These systems can only be fitted with a small-size processor, and their motion behavior is inherently uncertain due to manufacturing and platform-ground interactions. One way to capture this uncertainty is through a stochastic model. This paper deals with stochastic motion control design and implementation for MAST- specific eight-legged miniature crawling robots, which have been kinematically modeled as systems exhibiting the behavior of a Dubin's car with stochastic noise. The control design takes the form of stochastic receding horizon control, and is implemented on a Gumstix Overo Fire COM with 720 MHz processor and 512 MB RAM, weighing 5.5 g. The experimental results show the effectiveness of this control law for miniature autonomous systems perturbed by stochastic noise.
Event-Triggered Faults Tolerant Control for Stochastic Systems with Time Delays
Directory of Open Access Journals (Sweden)
Ling Huang
2016-01-01
Full Text Available This paper is concerned with the state-feedback controller design for stochastic networked control systems (NCSs with random actuator failures and transmission delays. Firstly, an event-triggered scheme is introduced to optimize the performance of the stochastic NCSs. Secondly, stochastic NCSs under event-triggered scheme are modeled as stochastic time-delay systems. Thirdly, some less conservative delay-dependent stability criteria in terms of linear matrix inequalities for the codesign of both the controller gain and the trigger parameters are obtained by using delay-decomposition technique and convex combination approach. Finally, a numerical example is provided to show the less sampled data transmission and less conservatism of the proposed theory.
Distributed Stochastic Approximation for Constrained and Unconstrained Optimization
Bianchi, Pascal
2011-01-01
In this paper, we analyze the convergence of a distributed Robbins-Monro algorithm for both constrained and unconstrained optimization in multi-agent systems. The algorithm searches local minima of a (nonconvex) objective function which is supposed to coincide with a sum of local utility functions of the agents. The algorithm under study consists of two steps: a local stochastic gradient descent at each agent and a gossip step that drives the network of agents to a consensus. It is proved that i) an agreement is achieved between agents on the value of the estimate, ii) the algorithm converges to the set of Kuhn-Tucker points of the optimization problem. The proof relies on recent results about differential inclusions. In the context of unconstrained optimization, intelligible sufficient conditions are provided in order to ensure the stability of the algorithm. In the latter case, we also provide a central limit theorem which governs the asymptotic fluctuations of the estimate. We illustrate our results in the...
DEFF Research Database (Denmark)
Sokoler, Leo Emil; Dammann, Bernd; Madsen, Henrik
2014-01-01
This paper presents a decomposition algorithm for solving the optimal control problem (OCP) that arises in Mean-Variance Economic Model Predictive Control of stochastic linear systems. The algorithm applies the alternating direction method of multipliers to a reformulation of the OCP...
Control of Networked Traffic Flow Distribution - A Stochastic Distribution System Perspective
Energy Technology Data Exchange (ETDEWEB)
Wang, Hong [Pacific Northwest National Laboratory (PNNL); Aziz, H M Abdul [ORNL; Young, Stan [National Renewable Energy Laboratory (NREL); Patil, Sagar [Pacific Northwest National Laboratory (PNNL)
2017-10-01
Networked traffic flow is a common scenario for urban transportation, where the distribution of vehicle queues either at controlled intersections or highway segments reflect the smoothness of the traffic flow in the network. At signalized intersections, the traffic queues are controlled by traffic signal control settings and effective traffic lights control would realize both smooth traffic flow and minimize fuel consumption. Funded by the Energy Efficient Mobility Systems (EEMS) program of the Vehicle Technologies Office of the US Department of Energy, we performed a preliminary investigation on the modelling and control framework in context of urban network of signalized intersections. In specific, we developed a recursive input-output traffic queueing models. The queue formation can be modeled as a stochastic process where the number of vehicles entering each intersection is a random number. Further, we proposed a preliminary B-Spline stochastic model for a one-way single-lane corridor traffic system based on theory of stochastic distribution control.. It has been shown that the developed stochastic model would provide the optimal probability density function (PDF) of the traffic queueing length as a dynamic function of the traffic signal setting parameters. Based upon such a stochastic distribution model, we have proposed a preliminary closed loop framework on stochastic distribution control for the traffic queueing system to make the traffic queueing length PDF follow a target PDF that potentially realizes the smooth traffic flow distribution in a concerned corridor.
LU, Qi
2015-01-01
We generalize the concept "well-posed linear system" to stochastic linear control systems and study some basic properties of such kind systems. Under our generalized definition, we show the well-posedness of the stochastic heat equation and the stochastic Schr\\"odinger equation with suitable boundary control and observation operators, respectively.
Zakynthinaki, M. S.; Barakat, R. O.; Cordente Martínez, C. A.; Sampedro Molinuevo, J.
2011-03-01
The stochastic optimization method ALOPEX IV has been successfully applied to the problem of detecting possible changes in the maternal heart rate kinetics during pregnancy. For this reason, maternal heart rate data were recorded before, during and after gestation, during sessions of exercises of constant mild intensity; ALOPEX IV stochastic optimization was used to calculate the parameter values that optimally fit a dynamical systems model to the experimental data. The results not only demonstrate the effectiveness of ALOPEX IV stochastic optimization, but also have important implications in the area of exercise physiology, as they reveal important changes in the maternal cardiovascular dynamics, as a result of pregnancy.
Controlling roughening processes in the stochastic Kuramoto-Sivashinsky equation
Kalliadasis, Serafim; Gomes, Susana; Papageorgiou, Demetrios; Pavliotis, Greg; Pradas, Marc
2017-11-01
We present a novel methodology to control the roughening processes of semilinear parabolic stochastic partial differential equations in one dimension, which we exemplify with the stochastic Kuramoto-Sivashinsky equation. The original equation is split into a linear stochastic and a nonlinear deterministic equation so that we can apply linear feedback control methods. Our control strategy is then based on two steps: first, stabilize the zero solution of the deterministic part and, second, control the roughness of the stochastic linear equation. We consider both periodic controls and point actuated ones, observing in all cases that the second moment of the solution evolves in time according to a power-law until it saturates at the desired controlled value. Furthermore, our control framework allows us to force the interfaces to have a prescribed shape. We observe from our numerical experiments that our results are valid for different types of nonlinearity (in particular, the Burgers and KPZ ones) as well as white and coloured noise.
Controlling roughening processes in the stochastic Kuramoto-Sivashinsky equation
Gomes, S. N.; Kalliadasis, S.; Papageorgiou, D. T.; Pavliotis, G. A.; Pradas, M.
2017-06-01
We present a novel control methodology to control the roughening processes of semilinear parabolic stochastic partial differential equations in one dimension, which we exemplify with the stochastic Kuramoto-Sivashinsky equation. The original equation is split into a linear stochastic and a nonlinear deterministic equation so that we can apply linear feedback control methods. Our control strategy is then based on two steps: first, stabilize the zero solution of the deterministic part and, second, control the roughness of the stochastic linear equation. We consider both periodic controls and point actuated ones, observing in all cases that the second moment of the solution evolves in time according to a power-law until it saturates at the desired controlled value.
Pareto Optimal Solutions for Stochastic Dynamic Programming Problems via Monte Carlo Simulation
Directory of Open Access Journals (Sweden)
R. T. N. Cardoso
2013-01-01
Full Text Available A heuristic algorithm is proposed for a class of stochastic discrete-time continuous-variable dynamic programming problems submitted to non-Gaussian disturbances. Instead of using the expected values of the objective function, the randomness nature of the decision variables is kept along the process, while Pareto fronts weighted by all quantiles of the objective function are determined. Thus, decision makers are able to choose any quantile they wish. This new idea is carried out by using Monte Carlo simulations embedded in an approximate algorithm proposed to deterministic dynamic programming problems. The new method is tested in instances of the classical inventory control problem. The results obtained attest for the efficiency and efficacy of the algorithm in solving these important stochastic optimization problems.
A stochastic optimization approach for integrated urban water resource planning.
Huang, Y; Chen, J; Zeng, S; Sun, F; Dong, X
2013-01-01
Urban water is facing the challenges of both scarcity and water quality deterioration. Consideration of nonconventional water resources has increasingly become essential over the last decade in urban water resource planning. In addition, rapid urbanization and economic development has led to an increasing uncertain water demand and fragile water infrastructures. Planning of urban water resources is thus in need of not only an integrated consideration of both conventional and nonconventional urban water resources including reclaimed wastewater and harvested rainwater, but also the ability to design under gross future uncertainties for better reliability. This paper developed an integrated nonlinear stochastic optimization model for urban water resource evaluation and planning in order to optimize urban water flows. It accounted for not only water quantity but also water quality from different sources and for different uses with different costs. The model successfully applied to a case study in Beijing, which is facing a significant water shortage. The results reveal how various urban water resources could be cost-effectively allocated by different planning alternatives and how their reliabilities would change.
Filtering and control of stochastic jump hybrid systems
Yao, Xiuming; Zheng, Wei Xing
2016-01-01
This book presents recent research work on stochastic jump hybrid systems. Specifically, the considered stochastic jump hybrid systems include Markovian jump Ito stochastic systems, Markovian jump linear-parameter-varying (LPV) systems, Markovian jump singular systems, Markovian jump two-dimensional (2-D) systems, and Markovian jump repeated scalar nonlinear systems. Some sufficient conditions are first established respectively for the stability and performances of those kinds of stochastic jump hybrid systems in terms of solution of linear matrix inequalities (LMIs). Based on the derived analysis conditions, the filtering and control problems are addressed. The book presents up-to-date research developments and novel methodologies on stochastic jump hybrid systems. The contents can be divided into two parts: the first part is focused on robust filter design problem, while the second part is put the emphasis on robust control problem. These methodologies provide a framework for stability and performance analy...
Control and optimization system
Xinsheng, Lou
2013-02-12
A system for optimizing a power plant includes a chemical loop having an input for receiving an input parameter (270) and an output for outputting an output parameter (280), a control system operably connected to the chemical loop and having a multiple controller part (230) comprising a model-free controller. The control system receives the output parameter (280), optimizes the input parameter (270) based on the received output parameter (280), and outputs an optimized input parameter (270) to the input of the chemical loop to control a process of the chemical loop in an optimized manner.
Risk-sensitive control of stochastic hybrid systems on infinite time horizon
Directory of Open Access Journals (Sweden)
Runolfsson Thordur
1999-01-01
Full Text Available A risk-sensitive optimal control problem is considered for a hybrid system that consists of continuous time diffusion process that depends on a discrete valued mode variable that is modeled as a Markov chain. Optimality conditions are presented and conditions for the existence of optimal controls are derived. It is shown that the optimal risk-sensitive control problem is equivalent to the upper value of an associated stochastic differential game, and insight into the contributions of the noise input and mode variable to the risk sensitivity of the cost functional is given. Furthermore, it is shown that due to the mode variable risk sensitivity, the equivalence relationship that has been observed between risk-sensitive and H ∞ control in the nonhybrid case does not hold for stochastic hybrid systems.
Stochastic Power Control for Time-Varying Long-Term Fading Wireless Networks
Directory of Open Access Journals (Sweden)
Charalambous Charalambos D
2006-01-01
Full Text Available A new time-varying (TV long-term fading (LTF channel model which captures both the space and time variations of wireless systems is developed. The proposed TV LTF model is based on a stochastic differential equation driven by Brownian motion. This model is more realistic than the static models usually encountered in the literature. It allows viewing the wireless channel as a dynamical system, thus enabling well-developed tools of adaptive and nonadaptive estimation and identification techniques to be applied to this class of problems. In contrast with the traditional models, the statistics of the proposed model are shown to be TV, but converge in steady state to their static counterparts. Moreover, optimal power control algorithms (PCAs based on the new model are proposed. A centralized PCA is shown to reduce to a simple linear programming problem if predictable power control strategies (PPCS are used. In addition, an iterative distributed stochastic PCA is used to solve for the optimization problem using stochastic approximations. The latter solely requires each mobile to know its received signal-to-interference ratio. Generalizations of the power control problem based on convex optimization techniques are provided if PPCS are not assumed. Numerical results show that there are potentially large gains to be achieved by using TV stochastic models, and the distributed stochastic PCA provides better power stability and consumption than the distributed deterministic PCA.
Schaft, A.J. van der
1987-01-01
It is argued that the existence of symmetries may simplify, as in classical mechanics, the solution of optimal control problems. A procedure for obtaining symmetries for the optimal Hamiltonian resulting from the Maximum Principle is given; this avoids the actual calculation of the optimal
Qin, Xiaosheng; Huang, Guohe; Liu, Lei
2010-01-01
A genetic-algorithm-aided stochastic optimization (GASO) model was developed in this study for supporting regional air quality management under uncertainty. The model incorporated genetic algorithm (GA) and Monte Carlo simulation techniques into a general stochastic chance-constrained programming (CCP) framework and allowed uncertainties in simulation and optimization model parameters to be considered explicitly in the design of least-cost strategies. GA was used to seek the optimal solution of the management model by progressively evaluating the performances of individual solutions. Monte Carlo simulation was used to check the feasibility of each solution. A management problem in terms of regional air pollution control was studied to demonstrate the applicability of the proposed method. Results of the case study indicated the proposed model could effectively communicate uncertainties into the optimization process and generate solutions that contained a spectrum of potential air pollutant treatment options with risk and cost information. Decision alternatives could be obtained by analyzing tradeoffs between the overall pollutant treatment cost and the system-failure risk due to inherent uncertainties.
OPTIMAL TRAINING POLICY FOR PROMOTION - STOCHASTIC MODELS OF MANPOWER SYSTEMS
Directory of Open Access Journals (Sweden)
V.S.S. Yadavalli
2012-01-01
Full Text Available In this paper, the optimal planning of manpower training programmes in a manpower system with two grades is discussed. The planning of manpower training within a given organization involves a trade-off between training costs and expected return. These planning problems are examined through models that reflect the random nature of manpower movement in two grades. To be specific, the system consists of two grades, grade 1 and grade 2. Any number of persons in grade 2 can be sent for training and after the completion of training, they will stay in grade 2 and will be given promotion as and when vacancies arise in grade 1. Vacancies arise in grade 1 only by wastage. A person in grade 1 can leave the system with probability p. Vacancies are filled with persons in grade 2 who have completed the training. It is assumed that there is a perfect passing rate and that the sizes of both grades are fixed. Assuming that the planning horizon is finite and is T, the underlying stochastic process is identified as a finite state Markov chain and using dynamic programming, a policy is evolved to determine how many persons should be sent for training at any time k so as to minimize the total expected cost for the entire planning period T.
Design and analysis of stochastic DSS query optimizers in a distributed database system
Directory of Open Access Journals (Sweden)
Manik Sharma
2016-07-01
Full Text Available Query optimization is a stimulating task of any database system. A number of heuristics have been applied in recent times, which proposed new algorithms for substantially improving the performance of a query. The hunt for a better solution still continues. The imperishable developments in the field of Decision Support System (DSS databases are presenting data at an exceptional rate. The massive volume of DSS data is consequential only when it is able to access and analyze by distinctive researchers. Here, an innovative stochastic framework of DSS query optimizer is proposed to further optimize the design of existing query optimization genetic approaches. The results of Entropy Based Restricted Stochastic Query Optimizer (ERSQO are compared with the results of Exhaustive Enumeration Query Optimizer (EAQO, Simple Genetic Query Optimizer (SGQO, Novel Genetic Query Optimizer (NGQO and Restricted Stochastic Query Optimizer (RSQO. In terms of Total Costs, EAQO outperforms SGQO, NGQO, RSQO and ERSQO. However, stochastic approaches dominate in terms of runtime. The Total Costs produced by ERSQO is better than SGQO, NGQO and RGQO by 12%, 8% and 5% respectively. Moreover, the effect of replicating data on the Total Costs of DSS query is also examined. In addition, the statistical analysis revealed a 2-tailed significant correlation between the number of join operations and the Total Costs of distributed DSS query. Finally, in regard to the consistency of stochastic query optimizers, the results of SGQO, NGQO, RSQO and ERSQO are 96.2%, 97.2%, 97.45 and 97.8% consistent respectively.
SpaceScanner: COPASI wrapper for automated management of global stochastic optimization experiments.
Elsts, Atis; Pentjuss, Agris; Stalidzans, Egils
2017-09-15
Due to their universal applicability, global stochastic optimization methods are popular for designing improvements of biochemical networks. The drawbacks of global stochastic optimization methods are: (i) no guarantee of finding global optima, (ii) no clear optimization run termination criteria and (iii) no criteria to detect stagnation of an optimization run. The impact of these drawbacks can be partly compensated by manual work that becomes inefficient when the solution space is large due to combinatorial explosion of adjustable parameters or for other reasons. SpaceScanner uses parallel optimization runs for automatic termination of optimization tasks in case of consensus and consecutively applies a pre-defined set of global stochastic optimization methods in case of stagnation in the currently used method. Automatic scan of adjustable parameter combination subsets for best objective function values is possible with a summary file of ranked solutions. https://github.com/atiselsts/spacescanner . egils.stalidzans@lu.lv. Supplementary data are available at Bioinformatics online.
2017-07-04
This paper presents a stochastic multi-agent optimization model that supports energy infrastruc- : ture planning under uncertainty. The interdependence between dierent decision entities in the : system is captured in an energy supply chain network, w...
Kiesewetter, Simon; Drummond, Peter D.
2017-03-01
A variance reduction method for stochastic integration of Fokker-Planck equations is derived. This unifies the cumulant hierarchy and stochastic equation approaches to obtaining moments, giving a performance superior to either. We show that the brute force method of reducing sampling error by just using more trajectories in a sampled stochastic equation is not the best approach. The alternative of using a hierarchy of moment equations is also not optimal, as it may converge to erroneous answers. Instead, through Bayesian conditioning of the stochastic noise on the requirement that moment equations are satisfied, we obtain improved results with reduced sampling errors for a given number of stochastic trajectories. The method used here converges faster in time-step than Ito-Euler algorithms. This parallel optimized sampling (POS) algorithm is illustrated by several examples, including a bistable nonlinear oscillator case where moment hierarchies fail to converge.
Stochastic optimization in insurance a dynamic programming approach
Azcue, Pablo
2014-01-01
The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the possibility of controlling the risk process by reinsurance as well as by investments. They show that optimal value functions are characterized as either the unique or the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation; they also study the structure of the optimal strategies and show how to find them. The viscosity approach was widely used in control problems related to mathematical finance but until quite recently it was not used to solve control problems related to actuarial mathematical science. This book is designed to familiarize the reader on how to use this approach. The intended audience is graduate students as well as researchers in this area.
Stochastic properties of systems controlled by autocatalytic reactions I
Pal, L.
2004-01-01
We analyzed the stochastic behavior of systems controlled by autocatalytic reaction A+X -> X+X. Assuming the distribution of reacting particles in the system volume to be uniform, we introduced the notion of the point model of reaction kinetics, and derived a system of differential equations for probabilities of finding n=0,1,... autocatalytic particles at a given time moment. It has been found that the kinetic law of the mass action cannot be supported by stochastic model.
Weyrauch, T; Vorontsov, M A; Bifano, T G; Hammer, J A; Cohen, M; Cauwenberghs, G
2001-08-20
The performance of adaptive systems that consist of microscale on-chip elements [microelectromechanical mirror (mu-mirror) arrays and a VLSI stochastic gradient descent microelectronic control system] is analyzed. The mu-mirror arrays with 5 x 5 and 6 x 6 actuators were driven with a control system composed of two mixed-mode VLSI chips implementing model-free beam-quality metric optimization by the stochastic parallel perturbative gradient descent technique. The adaptation rate achieved was near 6000 iterations/s. A secondary (learning) feedback loop was used to control system parameters during the adaptation process, further increasing the adaptation rate.
Integrated controls design optimization
Lou, Xinsheng; Neuschaefer, Carl H.
2015-09-01
A control system (207) for optimizing a chemical looping process of a power plant includes an optimizer (420), an income algorithm (230) and a cost algorithm (225) and a chemical looping process models. The process models are used to predict the process outputs from process input variables. Some of the process in puts and output variables are related to the income of the plant; and some others are related to the cost of the plant operations. The income algorithm (230) provides an income input to the optimizer (420) based on a plurality of input parameters (215) of the power plant. The cost algorithm (225) provides a cost input to the optimizer (420) based on a plurality of output parameters (220) of the power plant. The optimizer (420) determines an optimized operating parameter solution based on at least one of the income input and the cost input, and supplies the optimized operating parameter solution to the power plant.
A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
Djehiche, Boualem
2015-02-24
In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle (SMP) for optimal control of stochastic differential equations (SDEs) of mean-field type, in which the drift and the diffusion coefficients as well as the performance functional depend not only on the state and the control but also on the mean of the distribution of the state. Our result extends the risk-sensitive SMP (without mean-field coupling) of Lim and Zhou (2005), derived for feedback (or Markov) type optimal controls, to optimal control problems for non-Markovian dynamics which may be time-inconsistent in the sense that the Bellman optimality principle does not hold. In our approach to the risk-sensitive SMP, the smoothness assumption on the value-function imposed in Lim and Zhou (2005) needs not be satisfied. For a general action space a Peng\\'s type SMP is derived, specifying the necessary conditions for optimality. Two examples are carried out to illustrate the proposed risk-sensitive mean-field type SMP under linear stochastic dynamics with exponential quadratic cost function. Explicit solutions are given for both mean-field free and mean-field models.
Stochastic Extended LQR for Optimization-based Motion Planning Under Uncertainty.
Sun, Wen; van den Berg, Jur; Alterovitz, Ron
2016-04-01
We introduce a novel optimization-based motion planner, Stochastic Extended LQR (SELQR), which computes a trajectory and associated linear control policy with the objective of minimizing the expected value of a user-defined cost function. SELQR applies to robotic systems that have stochastic non-linear dynamics with motion uncertainty modeled by Gaussian distributions that can be state- and control-dependent. In each iteration, SELQR uses a combination of forward and backward value iteration to estimate the cost-to-come and the cost-to-go for each state along a trajectory. SELQR then locally optimizes each state along the trajectory at each iteration to minimize the expected total cost, which results in smoothed states that are used for dynamics linearization and cost function quadratization. SELQR progressively improves the approximation of the expected total cost, resulting in higher quality plans. For applications with imperfect sensing, we extend SELQR to plan in the robot's belief space. We show that our iterative approach achieves fast and reliable convergence to high-quality plans in multiple simulated scenarios involving a car-like robot, a quadrotor, and a medical steerable needle performing a liver biopsy procedure.
Stochastic Extended LQR for Optimization-based Motion Planning Under Uncertainty
Sun, Wen; van den Berg, Jur; Alterovitz, Ron
2016-01-01
We introduce a novel optimization-based motion planner, Stochastic Extended LQR (SELQR), which computes a trajectory and associated linear control policy with the objective of minimizing the expected value of a user-defined cost function. SELQR applies to robotic systems that have stochastic non-linear dynamics with motion uncertainty modeled by Gaussian distributions that can be state- and control-dependent. In each iteration, SELQR uses a combination of forward and backward value iteration to estimate the cost-to-come and the cost-to-go for each state along a trajectory. SELQR then locally optimizes each state along the trajectory at each iteration to minimize the expected total cost, which results in smoothed states that are used for dynamics linearization and cost function quadratization. SELQR progressively improves the approximation of the expected total cost, resulting in higher quality plans. For applications with imperfect sensing, we extend SELQR to plan in the robot's belief space. We show that our iterative approach achieves fast and reliable convergence to high-quality plans in multiple simulated scenarios involving a car-like robot, a quadrotor, and a medical steerable needle performing a liver biopsy procedure. PMID:28163662
Stochastic Optimization for an Analytical Model of Saltwater Intrusion in Coastal Aquifers
Stratis, Paris N.; Karatzas, George P.; Papadopoulou, Elena P.; Zakynthinaki, Maria S.; Saridakis, Yiannis G.
2016-01-01
The present study implements a stochastic optimization technique to optimally manage freshwater pumping from coastal aquifers. Our simulations utilize the well-known sharp interface model for saltwater intrusion in coastal aquifers together with its known analytical solution. The objective is to maximize the total volume of freshwater pumped by the wells from the aquifer while, at the same time, protecting the aquifer from saltwater intrusion. In the direction of dealing with this problem in real time, the ALOPEX stochastic optimization method is used, to optimize the pumping rates of the wells, coupled with a penalty-based strategy that keeps the saltwater front at a safe distance from the wells. Several numerical optimization results, that simulate a known real aquifer case, are presented. The results explore the computational performance of the chosen stochastic optimization method as well as its abilities to manage freshwater pumping in real aquifer environments. PMID:27689362
Stochastic Optimization for an Analytical Model of Saltwater Intrusion in Coastal Aquifers.
Stratis, Paris N; Karatzas, George P; Papadopoulou, Elena P; Zakynthinaki, Maria S; Saridakis, Yiannis G
The present study implements a stochastic optimization technique to optimally manage freshwater pumping from coastal aquifers. Our simulations utilize the well-known sharp interface model for saltwater intrusion in coastal aquifers together with its known analytical solution. The objective is to maximize the total volume of freshwater pumped by the wells from the aquifer while, at the same time, protecting the aquifer from saltwater intrusion. In the direction of dealing with this problem in real time, the ALOPEX stochastic optimization method is used, to optimize the pumping rates of the wells, coupled with a penalty-based strategy that keeps the saltwater front at a safe distance from the wells. Several numerical optimization results, that simulate a known real aquifer case, are presented. The results explore the computational performance of the chosen stochastic optimization method as well as its abilities to manage freshwater pumping in real aquifer environments.
Beaconless stochastic parallel gradient descent laser beam control: numerical experiments.
Piatrou, Piotr; Roggemann, Michael
2007-09-20
We apply a target-in-the-loop strategy to the case of adaptive optics beam control in the presence of strong atmospheric turbulence for air-to-ground directed energy laser applications. Using numerical simulations we show that in the absence of a cooperative beacon to probe the atmosphere it is possible to extract information suitable for effective beam control from images of the speckled and strongly turbulence degraded intensity distribution of the laser energy at the target. We use a closed-loop, single-deformable-mirror adaptive optics system driven by a target-in-the-loop stochastic parallel gradient descent optimization algorithm minimizing a mean-radius performance metric defined on the image of the laser beam intensity distribution formed at the receiver. We show that a relatively low order 25-channel zonal adaptive optical beam control system controlled in this way is capable of achieving a high degree of turbulence compensation with respect to energy concentration if the tilt can be corrected separately.
Automatic optimization of experiments with coupled stochastic resonators
Calabria, Mauro F.; Deza, Roberto R.
2011-03-01
As a step in our experimental study of the noise-enhanced propagation of a low-frequency periodic signal through a chain of one-way coupled bistable oscillators—a mock-up of synaptic transmission between neurons [1]—and exploiting an acquisition and control system recently developed by us [2], we automatically optimize the units' input parameters with the goal of achieving maximal coherence between the last oscillator's response and the input signal. The optimization is carried out by means of a genetic algorithm, using as measures of input-output coherence either the Hamming distance or the mutual information, and as input parameters the signal-to-noise ratio αi and the switching threshold βi of each oscillator. The figure shows that in the uniform case (αi = α, βi = β, ∀i) the optimal setup is basically the same, regardless of which coherence measure is employed.
A numerical scheme for optimal transition paths of stochastic chemical kinetic systems
Liu, Di
2008-10-01
We present a new framework for finding the optimal transition paths of metastable stochastic chemical kinetic systems with large system size. The optimal transition paths are identified to be the most probable paths according to the Large Deviation Theory of stochastic processes. Dynamical equations for the optimal transition paths are derived using the variational principle. A modified Minimum Action Method (MAM) is proposed as a numerical scheme to solve the optimal transition paths. Applications to Gene Regulatory Networks such as the toggle switch model and the Lactose Operon Model in Escherichia coli are presented as numerical examples.
Fuzzy logic controller optimization
Sepe, Jr., Raymond B; Miller, John Michael
2004-03-23
A method is provided for optimizing a rotating induction machine system fuzzy logic controller. The fuzzy logic controller has at least one input and at least one output. Each input accepts a machine system operating parameter. Each output produces at least one machine system control parameter. The fuzzy logic controller generates each output based on at least one input and on fuzzy logic decision parameters. Optimization begins by obtaining a set of data relating each control parameter to at least one operating parameter for each machine operating region. A model is constructed for each machine operating region based on the machine operating region data obtained. The fuzzy logic controller is simulated with at least one created model in a feedback loop from a fuzzy logic output to a fuzzy logic input. Fuzzy logic decision parameters are optimized based on the simulation.
Operational Strategies for Predictive Dispatch of Control Reserves in View of Stochastic Generation
DEFF Research Database (Denmark)
Delikaraoglou, Stefanos; Heussen, Kai; Pinson, Pierre
2014-01-01
In view of the predictability and stochasticity of wind power generation, transmission system operators (TSOs) can benefit from predictive dispatch of slow and manual control reserves in order to maintain reactive reserve levels for unpredictable events. While scenario-based approaches...... for stochastic optimization are well suited for this problem, it appears that TSOs are hesitant in adopting this method into their practice of predictive dispatch. Differences in the formulation of constraints and cost functions, the timing and reserve product constraints influence the dispatch result...
A theory of Markovian time-inconsistent stochastic control in discrete time
DEFF Research Database (Denmark)
Bjork, Tomas; Murgoci, Agatha
2014-01-01
We develop a theory for a general class of discrete-time stochastic control problems that, in various ways, are time-inconsistent in the sense that they do not admit a Bellman optimality principle. We attack these problems by viewing them within a game theoretic framework, and we look for subgame...... perfect Nash equilibrium points. For a general controlled Markov process and a fairly general objective functional, we derive an extension of the standard Bellman equation, in the form of a system of nonlinear equations, for the determination of the equilibrium strategy as well as the equilibrium value...... function. Most known examples of time-inconsistent stochastic control problems in the literature are easily seen to be special cases of the present theory. We also prove that for every time-inconsistent problem, there exists an associated time-consistent problem such that the optimal control...
DEFF Research Database (Denmark)
Ding, Tao; Yang, Qingrun; Yang, Yongheng
2017-01-01
can be directly decomposed into several small-scale sub-problems, which can be handled in parallel without the information of dual problems. Numerical study on two distribution systems has been performed. Comparisons with the two-stage stochastic and robust approaches demonstrate the effectiveness...... the physical constraints. Therein, the probability distribution of uncertainties in the stochastic model is always pre-defined by the historical data. However, the empirical distribution can be biased due to a limited amount of historical data and thus result in a suboptimal control decision. Therefore......, in this paper, a data-driven modeling approach is introduced to assume that the probability distribution from the historical data is uncertain within a confidence set. Furthermore, a data-driven stochastic programming model is formulated as a two-stage problem, where the first-stage variables find the optimal...
Quality control system response to stochastic growth of amyloid fibrils
DEFF Research Database (Denmark)
Pigolotti, Simone; Lizana, Ludvig; Otzen, Daniel
2013-01-01
We introduce a stochastic model describing aggregation of misfolded proteins and degradation by the protein quality control system in a single cell. Aggregate growth is contrasted by the cell quality control system, that attacks them at different stages of the growth process, with an efficiency t...
Optimal Stochastic Advertising Strategies for the U.S. Beef Industry
Kun C. Lee; Stanley Schraufnagel; Earl O. Heady
1982-01-01
An important decision variable in the promotional strategy for the beef sector is the optimal level of advertising expenditures over time. Optimal stochastic and deterministic advertising expenditures are derived for the U.S. beef industry for the period `1966 through 1980. They are compared with historical levels and gains realized by optimal advertising strategies are measured. Finally, the optimal advertising expenditures in the future are forecasted.
Optimal investment models with stochastic volatility: the time ...
African Journals Online (AJOL)
In a recent paper by Pham [11] a multidimensional model with stochastic volatility and portfolio constraints has been proposed, solving a class of investment problems. One feature which is common with these problems is that the resultant Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE) is highly nonlinear.
Stochastic Optimization for Network-Constrained Power System Scheduling Problem
Directory of Open Access Journals (Sweden)
D. F. Teshome
2015-01-01
Full Text Available The stochastic nature of demand and wind generation has a considerable effect on solving the scheduling problem of a modern power system. Network constraints such as power flow equations and transmission capacities also need to be considered for a comprehensive approach to model renewable energy integration and analyze generation system flexibility. Firstly, this paper accounts for the stochastic inputs in such a way that the uncertainties are modeled as normally distributed forecast errors. The forecast errors are then superimposed on the outputs of load and wind forecasting tools. Secondly, it efficiently models the network constraints and tests an iterative algorithm and a piecewise linear approximation for representing transmission losses in mixed integer linear programming (MILP. It also integrates load shedding according to priority factors set by the system operator. Moreover, the different interactions among stochastic programming, network constraints, and prioritized load shedding are thoroughly investigated in the paper. The stochastic model is tested on a power system adopted from Jeju Island, South Korea. Results demonstrate the impact of wind speed variability and network constraints on the flexibility of the generation system. Further analysis shows the effect of loss modeling approaches on total cost, accuracy, computational time, and memory requirement.
Dynamic Programming and Error Estimates for Stochastic Control Problems with Maximum Cost
Energy Technology Data Exchange (ETDEWEB)
Bokanowski, Olivier, E-mail: boka@math.jussieu.fr [Laboratoire Jacques-Louis Lions, Université Paris-Diderot (Paris 7) UFR de Mathématiques - Bât. Sophie Germain (France); Picarelli, Athena, E-mail: athena.picarelli@inria.fr [Projet Commands, INRIA Saclay & ENSTA ParisTech (France); Zidani, Hasnaa, E-mail: hasnaa.zidani@ensta.fr [Unité de Mathématiques appliquées (UMA), ENSTA ParisTech (France)
2015-02-15
This work is concerned with stochastic optimal control for a running maximum cost. A direct approach based on dynamic programming techniques is studied leading to the characterization of the value function as the unique viscosity solution of a second order Hamilton–Jacobi–Bellman (HJB) equation with an oblique derivative boundary condition. A general numerical scheme is proposed and a convergence result is provided. Error estimates are obtained for the semi-Lagrangian scheme. These results can apply to the case of lookback options in finance. Moreover, optimal control problems with maximum cost arise in the characterization of the reachable sets for a system of controlled stochastic differential equations. Some numerical simulations on examples of reachable analysis are included to illustrate our approach.
Stochastic Optimization Model to STudy the Operational Impacts of High Wind Penetrations in Ireland
DEFF Research Database (Denmark)
Meibom, Peter; Barth, R.; Hasche, B.
2011-01-01
A stochastic mixed integer linear optimization scheduling model minimizing system operation costs and treating load and wind power production as stochastic inputs is presented. The schedules are updated in a rolling manner as more up-to-date information becomes available. This is a fundamental ch...... of future high wind penetrations for the island of Ireland. Results show that at least 6000 MW of wind (34% of energy demand) can be integrated into the island of Ireland without significant curtailment and reliability problems....
Two-Stage Stochastic Optimization. An Application in the Third Sector
Laconcepción Moraza, Sara
2016-01-01
[en] It is known that most of the problems applied in the real life present uncertainty. In the rst part of the dissertation, basic concepts and properties of the Stochastic Programming have been introduced to the reader, also known as Optimization under Uncertainty. Moreover, since stochastic programs are complex to compute, we have presented some other models such as wait-and-wee, expected value and the expected result of using expected value. The expected value of perfect information and ...
Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach
Energy Technology Data Exchange (ETDEWEB)
Ferrari, Giorgio, E-mail: giorgio.ferrari@uni-bielefeld.de; Riedel, Frank, E-mail: frank.riedel@uni-bielefeld.de; Steg, Jan-Henrik, E-mail: jsteg@uni-bielefeld.de [Bielefeld University, Center for Mathematical Economics (Germany)
2017-06-15
In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their expected utility allocating initial wealth over a given time period between private consumption and irreversible contributions to increase the level of some public good. We investigate the corresponding social planner problem and the case of strategic interaction between the agents, i.e. the public good contribution game. We show existence and uniqueness of the social planner’s optimal policy, we characterize it by necessary and sufficient stochastic Kuhn–Tucker conditions and we provide its expression in terms of the unique optional solution of a stochastic backward equation. Similar stochastic first order conditions prove to be very useful for studying any Nash equilibria of the public good contribution game. In the symmetric case they allow us to prove (qualitative) uniqueness of the Nash equilibrium, which we again construct as the unique optional solution of a stochastic backward equation. We finally also provide a detailed analysis of the so-called free rider effect.
Nguyen, A; Yosinski, J; Clune, J
2016-01-01
The Achilles Heel of stochastic optimization algorithms is getting trapped on local optima. Novelty Search mitigates this problem by encouraging exploration in all interesting directions by replacing the performance objective with a reward for novel behaviors. This reward for novel behaviors has traditionally required a human-crafted, behavioral distance function. While Novelty Search is a major conceptual breakthrough and outperforms traditional stochastic optimization on certain problems, it is not clear how to apply it to challenging, high-dimensional problems where specifying a useful behavioral distance function is difficult. For example, in the space of images, how do you encourage novelty to produce hawks and heroes instead of endless pixel static? Here we propose a new algorithm, the Innovation Engine, that builds on Novelty Search by replacing the human-crafted behavioral distance with a Deep Neural Network (DNN) that can recognize interesting differences between phenotypes. The key insight is that DNNs can recognize similarities and differences between phenotypes at an abstract level, wherein novelty means interesting novelty. For example, a DNN-based novelty search in the image space does not explore in the low-level pixel space, but instead creates a pressure to create new types of images (e.g., churches, mosques, obelisks, etc.). Here, we describe the long-term vision for the Innovation Engine algorithm, which involves many technical challenges that remain to be solved. We then implement a simplified version of the algorithm that enables us to explore some of the algorithm's key motivations. Our initial results, in the domain of images, suggest that Innovation Engines could ultimately automate the production of endless streams of interesting solutions in any domain: for example, producing intelligent software, robot controllers, optimized physical components, and art.
Stochastic control of Indian megadroughts and megafloods
Energy Technology Data Exchange (ETDEWEB)
Hunt, B.G. [CSIRO Marine and Atmospheric Research, Aspendale, VIC (Australia)
2012-10-15
A multi-millennial run of the CSIRO Mark2 coupled climatic model has been used to investigate megadroughts and megafloods during the Indian summer monsoon (June-September). These extreme events were defined as having rainfall anomalies at least two standard deviations from normal. More than ten megafloods and more than twenty megadroughts, so-defined, were found to occur in a 5,000-year period of the simulation. The simulation replicated most of the major features of the observed summer monsoon, but a comparison of observed and simulated probability density functions suggests that the limited observed rainfall time series to date does not adequately sample the possible range of Indian monsoonal rainfall. An investigation of causal mechanisms of Indian rainfall variability reproduced the observed negative correlation with ENSO events, but it was found that neither extreme ENSO events or extremes of a range of other climatic phenomena coincided with the simulated, extreme megadroughts and megafloods. This disconnect between these events is succinctly illustrated with examples related to ENSO events in particular. Autoregressive and FFT analysis of observed and simulated Indian summer monsoon rainfall time series revealed them to consist of white noise. Since these time series therefore consist of random outcomes, it is apparent that these Indian megadroughts and megafloods are the consequence of stochastic influences. Thus, it is concluded that the interannual variability of Indian summer monsoonal rainfall cannot be predicted in general, nor can megadroughts and megafloods in particular. (orig.)
Stochastic optimization with randomized smoothing for image registration
Sun, Wei; Poot, D.H.J.; Smal, Ihor; Yang, Xuan; Niessen, W.J.; Klein, S.
2017-01-01
Image registration is typically formulated as an optimization process, which aims to find the optimal transformation parameters of a given transformation model by minimizing a cost function. Local minima may exist in the optimization landscape, which could hamper the optimization process. To
Uncertainty Aware Structural Topology Optimization Via a Stochastic Reduced Order Model Approach
Aguilo, Miguel A.; Warner, James E.
2017-01-01
This work presents a stochastic reduced order modeling strategy for the quantification and propagation of uncertainties in topology optimization. Uncertainty aware optimization problems can be computationally complex due to the substantial number of model evaluations that are necessary to accurately quantify and propagate uncertainties. This computational complexity is greatly magnified if a high-fidelity, physics-based numerical model is used for the topology optimization calculations. Stochastic reduced order model (SROM) methods are applied here to effectively 1) alleviate the prohibitive computational cost associated with an uncertainty aware topology optimization problem; and 2) quantify and propagate the inherent uncertainties due to design imperfections. A generic SROM framework that transforms the uncertainty aware, stochastic topology optimization problem into a deterministic optimization problem that relies only on independent calls to a deterministic numerical model is presented. This approach facilitates the use of existing optimization and modeling tools to accurately solve the uncertainty aware topology optimization problems in a fraction of the computational demand required by Monte Carlo methods. Finally, an example in structural topology optimization is presented to demonstrate the effectiveness of the proposed uncertainty aware structural topology optimization approach.
On Symmetries in Optimal Control
Schaft, A.J. van der
1986-01-01
We discuss the use of symmetries in solving optimal control problems. In particular a procedure for obtaining symmetries is given which can be performed before the actual calculation of the optimal control and optimal Hamiltonian.
Static vs stochastic optimization: A case study of FTSE Bursa Malaysia sectorial indices
Mamat, Nur Jumaadzan Zaleha; Jaaman, Saiful Hafizah; Ahmad, Rokiah@Rozita
2014-06-01
Traditional portfolio optimization methods in the likes of Markowitz' mean-variance model and semi-variance model utilize static expected return and volatility risk from historical data to generate an optimal portfolio. The optimal portfolio may not truly be optimal in reality due to the fact that maximum and minimum values from the data may largely influence the expected return and volatility risk values. This paper considers distributions of assets' return and volatility risk to determine a more realistic optimized portfolio. For illustration purposes, the sectorial indices data in FTSE Bursa Malaysia is employed. The results show that stochastic optimization provides more stable information ratio.
Static vs stochastic optimization: A case study of FTSE Bursa Malaysia sectorial indices
Energy Technology Data Exchange (ETDEWEB)
Mamat, Nur Jumaadzan Zaleha; Jaaman, Saiful Hafizah; Ahmad, Rokiah Rozita [School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor (Malaysia)
2014-06-19
Traditional portfolio optimization methods in the likes of Markowitz' mean-variance model and semi-variance model utilize static expected return and volatility risk from historical data to generate an optimal portfolio. The optimal portfolio may not truly be optimal in reality due to the fact that maximum and minimum values from the data may largely influence the expected return and volatility risk values. This paper considers distributions of assets' return and volatility risk to determine a more realistic optimized portfolio. For illustration purposes, the sectorial indices data in FTSE Bursa Malaysia is employed. The results show that stochastic optimization provides more stable information ratio.
Energy-Based Controller Design of Stochastic Magnetic Levitation System
Sun, Weiwei; Wang, Kaili; Nie, Congcong; Xie, Xuejun
2017-01-01
This paper investigates the control problem of magnetic levitation system, in which velocity feedback signal is influenced by stochastic disturbance. Firstly, single-degree-freedom magnetic levitation is regarded as an energy-transform action device. From the view of energy-balance relation, the magnetic levitation system is transformed into port-controlled Hamiltonian system model. Next, based on the Hamiltonian structure, the control law of magnetic levitation system is designed by applying...
Gangammanavar, Harsha
The contribution of renewable resources to the energy portfolio across the world has been steadily increasing over the past few years. Several studies predict the continuation of this trend in the future leading to large scale integration of renewable resources into energy networks. A principal challenge associated with this is the intermittency and non-dispatchability of the renewable sources. This necessitates incorporation of faster reserves, storage devices and similar services operating alongside the slow ramping conventional generators in the energy network. To maintain the robustness of such a network, there are proposals to require hourly planning for some resources, and sub-hourly planning for others: an hourly scale may be used for conventional generator production levels and a sub-hourly scale for renewable generator levels and/or storage and transmission network utilization. This dissertation will present a multiple time scale stochastic programming formulation of the economic dispatch problem and algorithmic frameworks to tackle it. The first approach highlights the difference between hourly and sub-hourly planning of economic dispatch and uses the two-stage Stochastic Decomposition (SD) algorithm. The second framework combines three principal components: optimization, dynamic control and simulation. The conventional generator decisions are obtained iteratively by solving a regularized linear problem in the first stage of SD. For these first stage decisions, a policy for recommending the dispatch decisions is identified using an Approximate Dynamic Programming based controller. A vector autoregression based simulator is used to provide the sub-hourly wind generation scenarios. The performance of these algorithms was tested on the IEEE model energy networks and the Illinois energy network. The insights gained regarding the benefits of sub-hourly planning and role of operating reserves/storage in energy network with high renewable penetration will be
Aydın, Levent; Artem, Hatice Seçil
2011-01-01
The aim of the present study is to design the stacking sequence of the laminated composites that have low coefficient of thermal expansion and high elastic moduli. In design process, multi-objective genetic algorithm optimization of the carbon fiber laminated composite plates is verified by single objective optimization approach using three different stochastic optimization methods: genetic algorithm, generalized pattern search, and simulated annealing. However, both the multi- and single-obj...
Optimal Power Management Strategy for Energy Storage with Stochastic Loads
Directory of Open Access Journals (Sweden)
Stefano Pietrosanti
2016-03-01
Full Text Available In this paper, a power management strategy (PMS has been developed for the control of energy storage in a system subjected to loads of random duration. The PMS minimises the costs associated with the energy consumption of specific systems powered by a primary energy source and equipped with energy storage, under the assumption that the statistical distribution of load durations is known. By including the variability of the load in the cost function, it was possible to define the optimality criteria for the power flow of the storage. Numerical calculations have been performed obtaining the control strategies associated with the global minimum in energy costs, for a wide range of initial conditions of the system. The results of the calculations have been tested on a MATLAB/Simulink model of a rubber tyre gantry (RTG crane equipped with a flywheel energy storage system (FESS and subjected to a test cycle, which corresponds to the real operation of a crane in the Port of Felixstowe. The results of the model show increased energy savings and reduced peak power demand with respect to existing control strategies, indicating considerable potential savings for port operators in terms of energy and maintenance costs.
TUNING OF GAUSSIAN STOCHASTIC-CONTROL SYSTEMS
VANSCHUPPEN, JH
1994-01-01
A closed-loop system consisting of a control system and an adaptive controller will be called tuning for a specified control objective if the real system and the ideal system defined below achieve the same value for the control objective. The real system is the system consisting of the unknown
Optimal Consumption in a Stochastic Ramsey Model with Cobb-Douglas Production Function
Directory of Open Access Journals (Sweden)
Md. Azizul Baten
2013-01-01
Full Text Available A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption. We transformed the Hamilton-Jacobi-Bellman (HJB equation associated with the stochastic Ramsey model so as to transform the dimension of the state space by changing the variables. By the viscosity solution method, we established the existence of viscosity solution of the transformed Hamilton-Jacobi-Bellman equation associated with this model. Finally, the optimal consumption policy is derived from the optimality conditions in the HJB equation.
Determining Reduced Order Models for Optimal Stochastic Reduced Order Models
Energy Technology Data Exchange (ETDEWEB)
Bonney, Matthew S. [Sandia National Lab. (SNL-CA), Livermore, CA (United States); Brake, Matthew R.W. [Sandia National Lab. (SNL-CA), Livermore, CA (United States)
2015-08-01
The use of parameterized reduced order models(PROMs) within the stochastic reduced order model (SROM) framework is a logical progression for both methods. In this report, five different parameterized reduced order models are selected and critiqued against the other models along with truth model for the example of the Brake-Reuss beam. The models are: a Taylor series using finite difference, a proper orthogonal decomposition of the the output, a Craig-Bampton representation of the model, a method that uses Hyper-Dual numbers to determine the sensitivities, and a Meta-Model method that uses the Hyper-Dual results and constructs a polynomial curve to better represent the output data. The methods are compared against a parameter sweep and a distribution propagation where the first four statistical moments are used as a comparison. Each method produces very accurate results with the Craig-Bampton reduction having the least accurate results. The models are also compared based on time requirements for the evaluation of each model where the Meta- Model requires the least amount of time for computation by a significant amount. Each of the five models provided accurate results in a reasonable time frame. The determination of which model to use is dependent on the availability of the high-fidelity model and how many evaluations can be performed. Analysis of the output distribution is examined by using a large Monte-Carlo simulation along with a reduced simulation using Latin Hypercube and the stochastic reduced order model sampling technique. Both techniques produced accurate results. The stochastic reduced order modeling technique produced less error when compared to an exhaustive sampling for the majority of methods.
Energy Technology Data Exchange (ETDEWEB)
Kushner, Harold J., E-mail: hjk@dam.brown.edu [Brown University, Applied Math (United States)
2012-08-15
This is the second part of a work dealing with key issues that have not been addressed in the modeling and numerical optimization of nonlinear stochastic delay systems. We consider new classes of models, such as those with nonlinear functions of several controls (such as products), each with is own delay, controlled random Poisson measure driving terms, admissions control with delayed retrials, and others. Part I was concerned with issues concerning the class of admissible controls and their approximations, since the classical definitions are inadequate for our models. This part is concerned with transportation equation representations and their approximations. Such representations of nonlinear stochastic delay models have been crucial in the development of numerical algorithms with much reduced memory and computational requirements. The representations for the new models are not obvious and are developed. They also provide a template for the adaptation of the Markov chain approximation numerical methods.
McDonough, Kevin K.
The dissertation presents contributions to fuel-efficient control of vehicle speed and constrained control with applications to aircraft. In the first part of this dissertation a stochastic approach to fuel-efficient vehicle speed control is developed. This approach encompasses stochastic modeling of road grade and traffic speed, modeling of fuel consumption through the use of a neural network, and the application of stochastic dynamic programming to generate vehicle speed control policies that are optimized for the trade-off between fuel consumption and travel time. The fuel economy improvements with the proposed policies are quantified through simulations and vehicle experiments. It is shown that the policies lead to the emergence of time-varying vehicle speed patterns that are referred to as time-varying cruise. Through simulations and experiments it is confirmed that these time-varying vehicle speed profiles are more fuel-efficient than driving at a comparable constant speed. Motivated by these results, a simpler implementation strategy that is more appealing for practical implementation is also developed. This strategy relies on a finite state machine and state transition threshold optimization, and its benefits are quantified through model-based simulations and vehicle experiments. Several additional contributions are made to approaches for stochastic modeling of road grade and vehicle speed that include the use of Kullback-Liebler divergence and divergence rate and a stochastic jump-like model for the behavior of the road grade. In the second part of the dissertation, contributions to constrained control with applications to aircraft are described. Recoverable sets and integral safe sets of initial states of constrained closed-loop systems are introduced first and computational procedures of such sets based on linear discrete-time models are given. The use of linear discrete-time models is emphasized as they lead to fast computational procedures. Examples of
Stochastic control approaches for sensor management in search and exploitation
Hitchings, Darin Chester
Recent improvements in the capabilities of autonomous vehicles have motivated their increased use in such applications as defense, homeland security, environmental monitoring, and surveillance. To enhance performance in these applications, new algorithms are required to control teams of robots autonomously and through limited interactions with human operators. In this dissertation we develop new algorithms for control of robots performing information-seeking missions in unknown environments. These missions require robots to control their sensors in order to discover the presence of objects, keep track of the objects, and learn what these objects are, given a fixed sensing budget. Initially, we investigate control of multiple sensors, with a finite set of sensing options and finite-valued measurements, to locate and classify objects given a limited resource budget. The control problem is formulated as a Partially Observed Markov Decision Problem (POMDP), but its exact solution requires excessive computation. Under the assumption that sensor error statistics are independent and time-invariant, we develop a class of algorithms using Lagrangian Relaxation techniques to obtain optimal mixed strategies using performance bounds developed in previous research. We investigate alternative Receding Horizon (RH) controllers to convert the mixed strategies to feasible adaptive-sensing strategies and evaluate the relative performance of these controllers in simulation. The resulting controllers provide superior performance to alternative algorithms proposed in the literature and obtain solutions to large-scale POMDP problems several orders of magnitude faster than optimal Dynamic Programming (DP) approaches with comparable performance quality. We extend our results for finite action, finite measurement sensor control to scenarios with moving objects. We use Hidden Markov Models (HMMs) for the evolution of objects, according to the dynamics of a birth-death process. We develop a
Stochastic Control of Event-Driven Feedback in Multi-Antenna Interference Channels
Huang, Kaibin; Kim, Dongku
2010-01-01
Spatial interference avoidance is a simple and effective way of mitigating interference in multi-antenna wireless networks. The deployment of this technique requires channel-state information (CSI) feedback from each receiver to all interferers, resulting in substantial network overhead. To address this issue, this paper proposes the method of distributive feedback control that intelligently allocates feedback bits over multiple feedback links and adapts feedback to channel dynamics. For symmetric channel distributions, it is optimal for each receiver to equally allocate the average sum-feedback rate for different feedback links, thereby decoupling their control. For low mobility and using the criterion of minimum sum-interference power, the optimal feedback-control policy is shown using stochastic optimization theory to exhibit opportunism. Specifically, a specific feedback link is turned on only when the corresponding transmit-CSI error is significant or interference-channel gain is large, and the optimal n...
Oil Reservoir Production Optimization using Optimal Control
DEFF Research Database (Denmark)
Völcker, Carsten; Jørgensen, John Bagterp; Stenby, Erling Halfdan
2011-01-01
Practical oil reservoir management involves solution of large-scale constrained optimal control problems. In this paper we present a numerical method for solution of large-scale constrained optimal control problems. The method is a single-shooting method that computes the gradients using the adjo...... reservoir using water ooding and smart well technology. Compared to the uncontrolled case, the optimal operation increases the Net Present Value of the oil field by 10%.......Practical oil reservoir management involves solution of large-scale constrained optimal control problems. In this paper we present a numerical method for solution of large-scale constrained optimal control problems. The method is a single-shooting method that computes the gradients using...
Stochastic reservoir optimization using El Niño information: case study of Daule Peripa, Ecuador
DEFF Research Database (Denmark)
Gelati, Emiliano; Madsen, Henrik; Rosbjerg, Dan
2011-01-01
Reservoir optimization requires the ability to produce inflow scenarios that are consistent with the available climatic information. We approach stochastic inflow modelling with a Markov-switching model where inflow anomalies are described by a mixture of autoregressive models with exogenous inpu...
An Optimal Stochastic Investment and Consumption Strategy with ...
African Journals Online (AJOL)
The goal is to choose optimal investment and consumption policies that maximize the finite horizon expected discounted logarithmic utility of consumption and terminal wealth. A dynamical programming principle is used to derive the optimal investment and consumption strategy when the state variable follows a ...
On some queue length controlled stochastic processes
Directory of Open Access Journals (Sweden)
Lev Abolnikov
1990-01-01
Full Text Available The authors study the input, output and queueing processes in a general controlled single-server bulk queueing system. It is supposed that inter-arrival time, service time, batch size of arriving units and the capacity of the server depend on the queue length.
A stochastic model of neurogenesis controlled by a single factor.
Barton, A; Fendrik, A J; Rotondo, E
2014-08-21
The researches on cortical neurogenesis reveal that asymmetric division plays a key role in controlling the balance between the self-renewal of stem cells and the beginning of the neural differentiation. In such a process a neural stem cell divides by mitosis, originating a postmitotic neuron and other pluripotent stem cell available for subsequent differentiation events. In addition, studies of cell lineage trees of cultured neural progenitors reveal tree shapes and subtrees recurrent, consistent with a stochastic model of division symmetrical/asymmetrical. These considerations have led us to develop a stochastic model of neurogenesis in order to explore the possibility that this is controlled primarily by a single factor (i.e. the concentration of mNumb in the cell). We contrast the predictions of our model with experimental data and compare it with other models of neurogenesis. Copyright © 2014 Elsevier Ltd. All rights reserved.
Digital set point control of nonlinear stochastic systems
Moose, R. L.; Vanlandingham, H. F.; Zwicke, P. E.
1978-01-01
A technique for digital control of nonlinear stochastic plants is presented. The development achieves a practical digital algorithm with which the closed-loop system behaves in a classical Type I manner even with gross nonlinearities in the plant structure and low signal-to-noise power ratios. The design procedure is explained in detail and illustrated by an example whose simulated responses testify to the practicality of the approach.
Stochastic modelling and control of communication networks
Zuraniewski, P.W.
2011-01-01
The unprecedented growth of the Information Technologies sector observed within the past years creates an excellent opportunity to conduct new, exciting and interdisciplinary research. Increasing complexity of the communication networks calls for incorporating rigorously developed and reliable methods for traffic control and management. Mathematics may offer extremely valuable tools to achieve these goals but transforming an engineering problem into the mathematical one requires a good unders...
Stochastic Modelling and Self Tuning Control of a Continuous Cement Raw Material Mixing System
Directory of Open Access Journals (Sweden)
Hannu T. Toivonen
1980-01-01
Full Text Available The control of a continuously operating system for cement raw material mixing is studied. The purpose of the mixing system is to maintain a constant composition of the cement raw meal for the kiln despite variations of the raw material compositions. Experimental knowledge of the process dynamics and the characteristics of the various disturbances is used for deriving a stochastic model of the system. The optimal control strategy is then obtained as a minimum variance strategy. The control problem is finally solved using a self-tuning minimum variance regulator, and results from a successful implementation of the regulator are given.
Kloss, S.; Schütze, N.; de Paly, M.
2012-04-01
In this contribution, we introduce a stochastic framework for decision support for optimal planning and operation of water supply in irrigation. This consists of (i) a weather generator for simulating regional impacts of climate change on the basis of IPCC scenarios; (ii) a tailor-made evolutionary optimization algorithm for optimal irrigation scheduling with limited water supply; (iii) a mechanistic model for simulating water transport and crop growth in a sound manner; and (iv) a kernel density estimator for estimating stochastic productivity, profit and demand functions by a nonparametric method. As a result of several Monte Carlo simulation-optimization runs within the framework, we present stochastic crop-water production functions (SCWPF) for different crops which can be used as a basic tool for assessing the impact of climate variability on the risk for the potential yield or, furthermore for generating maps of uncertainty of yield for specific crops and specific agricultural areas. In addition, we applied a stack-ordering technique instead of the comprehensive Monte Carlo simulation for generating SCWPFs, which are based on a statistically appropriate sample size and a reliable optimal management. In comparison to an always exhaustive evaluation of the realizations in the case of the Monte Carlo set the stack-ordering procedure yields considerable computational savings by identifying critical solutions which define the user chosen reliability quantile in the course of the overlying optimization process.
Stochastic learning and optimization a sensitivity-based approach
Cao, Xi-Ren
2007-01-01
Performance optimization is vital in the design and operation of modern engineering systems. This book provides a unified framework based on a sensitivity point of view. It introduces new approaches and proposes new research topics.
Optimal control for chemical engineers
Upreti, Simant Ranjan
2013-01-01
Optimal Control for Chemical Engineers gives a detailed treatment of optimal control theory that enables readers to formulate and solve optimal control problems. With a strong emphasis on problem solving, the book provides all the necessary mathematical analyses and derivations of important results, including multiplier theorems and Pontryagin's principle.The text begins by introducing various examples of optimal control, such as batch distillation and chemotherapy, and the basic concepts of optimal control, including functionals and differentials. It then analyzes the notion of optimality, de
Existence of optimal controls for systems governed by mean-field ...
African Journals Online (AJOL)
In this paper, we study the existence of an optimal control for systems, governed by stochastic dierential equations of mean-eld type. For non linear systems, we prove the existence of an optimal relaxed control, by using tightness techniques and Skorokhod selection theorem. The optimal control is a measure valued process ...
Calculation of a double reactive azeotrope using stochastic optimization approaches
Mendes Platt, Gustavo; Pinheiro Domingos, Roberto; Oliveira de Andrade, Matheus
2013-02-01
An homogeneous reactive azeotrope is a thermodynamic coexistence condition of two phases under chemical and phase equilibrium, where compositions of both phases (in the Ung-Doherty sense) are equal. This kind of nonlinear phenomenon arises from real world situations and has applications in chemical and petrochemical industries. The modeling of reactive azeotrope calculation is represented by a nonlinear algebraic system with phase equilibrium, chemical equilibrium and azeotropy equations. This nonlinear system can exhibit more than one solution, corresponding to a double reactive azeotrope. The robust calculation of reactive azeotropes can be conducted by several approaches, such as interval-Newton/generalized bisection algorithms and hybrid stochastic-deterministic frameworks. In this paper, we investigate the numerical aspects of the calculation of reactive azeotropes using two metaheuristics: the Luus-Jaakola adaptive random search and the Firefly algorithm. Moreover, we present results for a system (with industrial interest) with more than one azeotrope, the system isobutene/methanol/methyl-tert-butyl-ether (MTBE). We present convergence patterns for both algorithms, illustrating - in a bidimensional subdomain - the identification of reactive azeotropes. A strategy for calculation of multiple roots in nonlinear systems is also applied. The results indicate that both algorithms are suitable and robust when applied to reactive azeotrope calculations for this "challenging" nonlinear system.
Liang, Faming
2014-04-03
Simulated annealing has been widely used in the solution of optimization problems. As known by many researchers, the global optima cannot be guaranteed to be located by simulated annealing unless a logarithmic cooling schedule is used. However, the logarithmic cooling schedule is so slow that no one can afford to use this much CPU time. This article proposes a new stochastic optimization algorithm, the so-called simulated stochastic approximation annealing algorithm, which is a combination of simulated annealing and the stochastic approximation Monte Carlo algorithm. Under the framework of stochastic approximation, it is shown that the new algorithm can work with a cooling schedule in which the temperature can decrease much faster than in the logarithmic cooling schedule, for example, a square-root cooling schedule, while guaranteeing the global optima to be reached when the temperature tends to zero. The new algorithm has been tested on a few benchmark optimization problems, including feed-forward neural network training and protein-folding. The numerical results indicate that the new algorithm can significantly outperform simulated annealing and other competitors. Supplementary materials for this article are available online.
The cavity resonator design: stochastic optimization of the transmission line method
Jurečka, Stanislav; Müllerová, Jarmila; Dado, Milan
2012-02-01
Stable cavity resonators provide an ideal solution for high quality applications in telecommunications, laser sources, sensors, oscillators and filters, instrumentation and other large area of applications. For the determination of the electromagnetic field (EMF) properties in a cavity resonator several numerical methods are widely used. In our approach we used the transmission line modeling method (TLM). It is a wide-band time-domain numerical method suitable for solution of the electromagnetic field in a studied region. TLM method is based on the isomorphism between the theory of passive electrical network and the wave equation describing the properties of the EMF. TLM method offers two important advantages over the time-domain techniques such as the finite-difference time domain methods. The electric and magnetic field are resolved synchronously in time and space and TLM in implicitly stable method due to the mapping to electrical circuits. The EMF in the rectangular cavity is in our approach determined by the TLM method and the frequency spectrum is computed by the Fourier transform of the time signal. The theoretical model of the cavity EMF power spectral density function contains information about the geometrical configuration of the resonator. In our work we use the genetic algorithm for the determination of optimal dimensions of the cavity resonator expected for the proposed output resonant frequency. The stochastic modification of the theoretical model parameters is controlled by the genetic operators of mutation, crossover and selection, leading to overall improvement of the theoretical model estimation during the optimization process.
Stochastic wind turbine modeling for individual pitch control
DEFF Research Database (Denmark)
Thomsen, Sven Creutz; Niemann, Hans Henrik; Poulsen, Niels Kjølstad
2009-01-01
By pitching the blades of a wind turbine individually it is possible to attenuate the asymmetric loads caused by a non-uniform wind field - this is denoted individual pitch control. In this work we investigate how to set up a simplified stochastic and deterministic description of the wind...... and a simplified description of the aerodynamics with sufficient detail to design model-based individual pitch controllers. Combined with a simplified model of the wind turbine, we exemplify how to use the model elements to systematically design an individual pitch controller. The design is investigated...
Energy-Based Controller Design of Stochastic Magnetic Levitation System
Directory of Open Access Journals (Sweden)
Weiwei Sun
2017-01-01
Full Text Available This paper investigates the control problem of magnetic levitation system, in which velocity feedback signal is influenced by stochastic disturbance. Firstly, single-degree-freedom magnetic levitation is regarded as an energy-transform action device. From the view of energy-balance relation, the magnetic levitation system is transformed into port-controlled Hamiltonian system model. Next, based on the Hamiltonian structure, the control law of magnetic levitation system is designed by applying Lyapunov theory. Finally, the simulation verifies the correctness of the proposed results.
Stability and synchronization control of stochastic neural networks
Zhou, Wuneng; Zhou, Liuwei; Tong, Dongbing
2016-01-01
This book reports on the latest findings in the study of Stochastic Neural Networks (SNN). The book collects the novel model of the disturbance driven by Levy process, the research method of M-matrix, and the adaptive control method of the SNN in the context of stability and synchronization control. The book will be of interest to university researchers, graduate students in control science and engineering and neural networks who wish to learn the core principles, methods, algorithms and applications of SNN.
Power, control and optimization
Vasant, Pandian; Barsoum, Nader
2013-01-01
The book consists of chapters based on selected papers of international conference „Power, Control and Optimization 2012”, held in Las Vegas, USA. Readers can find interesting chapters discussing various topics from the field of power control, its distribution and related fields. Book discusses topics like energy consumption impacted by climate, mathematical modeling of the influence of thermal power plant on the aquatic environment, investigation of cost reduction in residential electricity bill using electric vehicle at peak times or allocation and size evaluation of distributed generation using ANN model and others. Chapter authors are to the best of our knowledge the originators or closely related to the originators of presented ideas and its applications. Hence, this book certainly is one of the few books discussing the benefit from intersection of those modern and fruitful scientific fields of research with very tight and deep impact on real life and industry. This book is devoted to the studies o...
Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk
Directory of Open Access Journals (Sweden)
Tina Engler
2014-12-01
Full Text Available We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash. On a given time horizon [0; T], we then maximize the investor’s expected utility of terminal wealth in the worst-case crash scenario. Our main result is an explicit characterization of the worst-case optimal portfolio strategy for the class of HARA (hyperbolic absolute risk aversion utility functions.
Annealing evolutionary stochastic approximation Monte Carlo for global optimization
Liang, Faming
2010-04-08
In this paper, we propose a new algorithm, the so-called annealing evolutionary stochastic approximation Monte Carlo (AESAMC) algorithm as a general optimization technique, and study its convergence. AESAMC possesses a self-adjusting mechanism, whose target distribution can be adapted at each iteration according to the current samples. Thus, AESAMC falls into the class of adaptive Monte Carlo methods. This mechanism also makes AESAMC less trapped by local energy minima than nonadaptive MCMC algorithms. Under mild conditions, we show that AESAMC can converge weakly toward a neighboring set of global minima in the space of energy. AESAMC is tested on multiple optimization problems. The numerical results indicate that AESAMC can potentially outperform simulated annealing, the genetic algorithm, annealing stochastic approximation Monte Carlo, and some other metaheuristics in function optimization. © 2010 Springer Science+Business Media, LLC.
Stochastic Stability Analysis of Control Systems with Uncertain Communication
DEFF Research Database (Denmark)
Sloth, Christoffer; Wisniewski, Rafael
2017-01-01
This paper presents conditions for determining the stability of a networked control system. We assume that a given system is designed to be stochastically stable, when disregarding the implementation of the controller on a network. Based on the system description and an associated Lyapunov function......, we provide conditions for the quality of the network under which the networked system is stable. In particular, we provide a valid inter-sampling interval, mean communication delay, and a set to which the system converges in the mean....
Vorontsov, Mikhail A
2002-02-01
A new adaptive wave-front control technique and system architectures that offer fast adaptation convergence even for high-resolution adaptive optics is described. This technique is referred to as decoupled stochastic parallel gradient descent (D-SPGD). D-SPGD is based on stochastic parallel gradient descent optimization of performance metrics that depend on wave-front sensor data. The fast convergence rate is achieved through partial decoupling of the adaptive system's control channels by incorporating spatially distributed information from a wave-front sensor into the model-free optimization technique. D-SPGD wave-front phase control can be applied to a general class of adaptive optical systems. The efficiency of this approach is analyzed numerically by considering compensation of atmospheric-turbulence-induced phase distortions with use of both low-resolution (127 control channels) and high-resolution (256 x 256 control channels) adaptive systems. Results demonstrate that phase distortion compensation can be achieved during only 10-20 iterations. The efficiency of adaptive wave-front correction with D-SPGD is practically independent of system resolution.
Quadruped Robot Locomotion using a Global Optimization Stochastic Algorithm
Oliveira, Miguel; Santos, Cristina; Costa, Lino; Ferreira, Manuel
2011-09-01
The problem of tuning nonlinear dynamical systems parameters, such that the attained results are considered good ones, is a relevant one. This article describes the development of a gait optimization system that allows a fast but stable robot quadruped crawl gait. We combine bio-inspired Central Patterns Generators (CPGs) and Genetic Algorithms (GA). CPGs are modelled as autonomous differential equations, that generate the necessar y limb movement to perform the required walking gait. The GA finds parameterizations of the CPGs parameters which attain good gaits in terms of speed, vibration and stability. Moreover, two constraint handling techniques based on tournament selection and repairing mechanism are embedded in the GA to solve the proposed constrained optimization problem and make the search more efficient. The experimental results, performed on a simulated Aibo robot, demonstrate that our approach allows low vibration with a high velocity and wide stability margin for a quadruped slow crawl gait.
Optimal Control of Mechanical Systems
Directory of Open Access Journals (Sweden)
Vadim Azhmyakov
2007-01-01
Full Text Available In the present work, we consider a class of nonlinear optimal control problems, which can be called “optimal control problems in mechanics.” We deal with control systems whose dynamics can be described by a system of Euler-Lagrange or Hamilton equations. Using the variational structure of the solution of the corresponding boundary-value problems, we reduce the initial optimal control problem to an auxiliary problem of multiobjective programming. This technique makes it possible to apply some consistent numerical approximations of a multiobjective optimization problem to the initial optimal control problem. For solving the auxiliary problem, we propose an implementable numerical algorithm.
A remark on multiobjective stochastic optimization via strongly convex functions
Czech Academy of Sciences Publication Activity Database
Kaňková, Vlasta
2016-01-01
Roč. 24, č. 2 (2016), s. 309-333 ISSN 1435-246X R&D Projects: GA ČR GA13-14445S Institutional support: RVO:67985556 Keywords : Stochasticmultiobjective optimization problem * Efficient solution * Wasserstein metric and L_1 norm * Stability and empirical estimates Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.659, year: 2016 http://library.utia.cas.cz/separaty/2015/E/kankova-0450553.pdf
Energy Technology Data Exchange (ETDEWEB)
Tahvili, Sahar [Mälardalen University (Sweden); Österberg, Jonas; Silvestrov, Sergei [Division of Applied Mathematics, Mälardalen University (Sweden); Biteus, Jonas [Scania CV (Sweden)
2014-12-10
One of the most important factors in the operations of many cooperations today is to maximize profit and one important tool to that effect is the optimization of maintenance activities. Maintenance activities is at the largest level divided into two major areas, corrective maintenance (CM) and preventive maintenance (PM). When optimizing maintenance activities, by a maintenance plan or policy, we seek to find the best activities to perform at each point in time, be it PM or CM. We explore the use of stochastic simulation, genetic algorithms and other tools for solving complex maintenance planning optimization problems in terms of a suggested framework model based on discrete event simulation.
Fully probabilistic control for stochastic nonlinear control systems with input dependent noise.
Herzallah, Randa
2015-03-01
Robust controllers for nonlinear stochastic systems with functional uncertainties can be consistently designed using probabilistic control methods. In this paper a generalised probabilistic controller design for the minimisation of the Kullback-Leibler divergence between the actual joint probability density function (pdf) of the closed loop control system, and an ideal joint pdf is presented emphasising how the uncertainty can be systematically incorporated in the absence of reliable systems models. To achieve this objective all probabilistic models of the system are estimated from process data using mixture density networks (MDNs) where all the parameters of the estimated pdfs are taken to be state and control input dependent. Based on this dependency of the density parameters on the input values, explicit formulations to the construction of optimal generalised probabilistic controllers are obtained through the techniques of dynamic programming and adaptive critic methods. Using the proposed generalised probabilistic controller, the conditional joint pdfs can be made to follow the ideal ones. A simulation example is used to demonstrate the implementation of the algorithm and encouraging results are obtained. Copyright © 2014 Elsevier Ltd. All rights reserved.
Directory of Open Access Journals (Sweden)
Emmanuel Okewu
2017-10-01
Full Text Available The role of automation in sustainable development is not in doubt. Computerization in particular has permeated every facet of human endeavour, enhancing the provision of information for decision-making that reduces cost of operation, promotes productivity and socioeconomic prosperity and cohesion. Hence, a new field called information and communication technology for development (ICT4D has emerged. Nonetheless, the need to ensure environmentally friendly computing has led to this research study with particular focus on green computing in Africa. This is against the backdrop that the continent is feared to suffer most from the vulnerability of climate change and the impact of environmental risk. Using Nigeria as a test case, this paper gauges the green computing awareness level of Africans via sample survey. It also attempts to institutionalize green computing maturity model with a view to optimizing the level of citizens awareness amid inherent uncertainties like low bandwidth, poor network and erratic power in an emerging African market. Consequently, we classified the problem as a stochastic optimization problem and applied metaheuristic search algorithm to determine the best sensitization strategy. Although there are alternative ways of promoting green computing education, the metaheuristic search we conducted indicated that an online real-time solution that not only drives but preserves timely conversations on electronic waste (e-waste management and energy saving techniques among the citizenry is cutting edge. The authors therefore reviewed literature, gathered requirements, modelled the proposed solution using Universal Modelling Language (UML and developed a prototype. The proposed solution is a web-based multi-tier e-Green computing system that educates computer users on innovative techniques of managing computers and accessories in an environmentally friendly way. We found out that such a real-time web-based interactive forum does not
Stochastic optimization of laboratory test workflow at metallurgical testing centers
Directory of Open Access Journals (Sweden)
F. Tošenovský
2016-10-01
Full Text Available The objective of the paper is to present a way to shorten the time required to perform laboratory tests of materials in metallurgy. The paper finds a relation between the time to perform a test of materials and the number of technicians carrying out the test. The relation can be used to optimize the number of technicians. The approach is based on probability theory, as the amount of material to be tested is unknown in advance, and uses powerful modelling techniques involving the generalized estimating equations.
Control rod worth calculations using deterministic and stochastic methods
Energy Technology Data Exchange (ETDEWEB)
Varvayanni, M. [NCSR ' DEMOKRITOS' , PO Box 60228, 15310 Aghia Paraskevi (Greece); Savva, P., E-mail: melina@ipta.demokritos.g [NCSR ' DEMOKRITOS' , PO Box 60228, 15310 Aghia Paraskevi (Greece); Catsaros, N. [NCSR ' DEMOKRITOS' , PO Box 60228, 15310 Aghia Paraskevi (Greece)
2009-11-15
Knowledge of the efficiency of a control rod to absorb excess reactivity in a nuclear reactor, i.e. knowledge of its reactivity worth, is very important from many points of view. These include the analysis and the assessment of the shutdown margin of new core configurations (upgrade, conversion, refuelling, etc.) as well as several operational needs, such as calibration of the control rods, e.g. in case that reactivity insertion experiments are planned. The control rod worth can be assessed either experimentally or theoretically, mainly through the utilization of neutronic codes. In the present work two different theoretical approaches, i.e. a deterministic and a stochastic one are used for the estimation of the integral and the differential worth of two control rods utilized in the Greek Research Reactor (GRR-1). For the deterministic approach the neutronics code system SCALE (modules NITAWL/XSDRNPM) and CITATION is used, while the stochastic one is made using the Monte Carlo code TRIPOLI. Both approaches follow the procedure of reactivity insertion steps and their results are tested against measurements conducted in the reactor. The goal of this work is to examine the capability of a deterministic code system to reliably simulate the worth of a control rod, based also on comparisons with the detailed Monte Carlo simulation, while various options are tested with respect to the deterministic results' reliability.
Beck, Joakim
2014-03-01
In this work we consider quasi-optimal versions of the Stochastic Galerkin method for solving linear elliptic PDEs with stochastic coefficients. In particular, we consider the case of a finite number N of random inputs and an analytic dependence of the solution of the PDE with respect to the parameters in a polydisc of the complex plane CN. We show that a quasi-optimal approximation is given by a Galerkin projection on a weighted (anisotropic) total degree space and prove a (sub)exponential convergence rate. As a specific application we consider a thermal conduction problem with non-overlapping inclusions of random conductivity. Numerical results show the sharpness of our estimates. © 2013 Elsevier Ltd. All rights reserved.
Time dependent optimal switching controls in online selling models
Energy Technology Data Exchange (ETDEWEB)
Bradonjic, Milan [Los Alamos National Laboratory; Cohen, Albert [MICHIGAN STATE UNIV
2010-01-01
We present a method to incorporate dishonesty in online selling via a stochastic optimal control problem. In our framework, the seller wishes to maximize her average wealth level W at a fixed time T of her choosing. The corresponding Hamilton-Jacobi-Bellmann (HJB) equation is analyzed for a basic case. For more general models, the admissible control set is restricted to a jump process that switches between extreme values. We propose a new approach, where the optimal control problem is reduced to a multivariable optimization problem.
Optimal Control of Evolutionary Dynamics
Chakrabarti, Raj; McLendon, George
2008-01-01
Elucidating the fitness measures optimized during the evolution of complex biological systems is a major challenge in evolutionary theory. We present experimental evidence and an analytical framework demonstrating how biochemical networks exploit optimal control strategies in their evolutionary dynamics. Optimal control theory explains a striking pattern of extremization in the redox potentials of electron transport proteins, assuming only that their fitness measure is a control objective functional with bounded controls.
Optimal Vaccination in a Stochastic Epidemic Model of Two Non-Interacting Populations
2015-02-17
observations, detailed, case -specific information such as demographics of the population, timing and logistics for vac- cine deployment, delays...vaccine, the deterministic model is a poor estimate of the optimal strategy for the more realistic, stochastic case . Introduction As rapid, long-range...allocation of limited vaccine [3] [4]. A starting point for many studies of disease transmission in populations is the Susceptible- Infected-Recovered
Nonlinear stochastic systems with incomplete information filtering and control
Shen, Bo; Shu, Huisheng
2013-01-01
Nonlinear Stochastic Processes addresses the frequently-encountered problem of incomplete information. The causes of this problem considered here include: missing measurements; sensor delays and saturation; quantization effects; and signal sampling. Divided into three parts, the text begins with a focus on H∞ filtering and control problems associated with general classes of nonlinear stochastic discrete-time systems. Filtering problems are considered in the second part, and in the third the theory and techniques previously developed are applied to the solution of issues arising in complex networks with the design of sampled-data-based controllers and filters. Among its highlights, the text provides: · a unified framework for handling filtering and control problems in complex communication networks with limited bandwidth; · new concepts such as random sensor and signal saturations for more realistic modeling; and · demonstration of the use of techniques such...
Librjmcmc: AN Open-Source Generic C++ Library for Stochastic Optimization
Brédif, M.; Tournaire, O.
2012-07-01
The librjmcmc is an open source C++ library that solves optimization problems using a stochastic framework. The library is primarily intended for but not limited to research purposes in computer vision, photogrammetry and remote sensing, as it has initially been developed in the context of extracting building footprints from digital elevation models using a marked point process of rectangles. It has been designed to be both highly modular and extensible, and have computational times comparable to a code specifically designed for a particular application, thanks to the powerful paradigms of metaprogramming and generic programming. The proposed stochastic optimization is built on the coupling of a stochastic Reversible-Jump Markov Chain Monte Carlo (RJMCMC) sampler and a simulated annealing relaxation. This framework allows, with theoretical guarantees, the optimization of an unrestricted objective function without requiring any initial solution. The modularity of our library allows the processing of any kind of input data, whether they are 1D signals (e.g. LiDAR or SAR waveforms), 2D images, 3D point clouds... The library user has just to define a few modules describing its domain specific context: the encoding of a configuration (e.g. its object type in a marked point process context), reversible jump kernels (e.g. birth, death, modifications...), the optimized energies (e.g. data and regularization terms) and the probabilized search space given by the reference process. Similar to this extensibility in the application domain, concepts are clearly and orthogonally separated such that it is straightforward to customize the convergence test, the temperature schedule, or to add visitors enabling visual feedback during the optimization. The library offers dedicated modules for marked point processes, allowing the user to optimize a Maximum A Posteriori (MAP) criterion with an image data term energy on a marked point process of rectangles.
Optimal Stimulus Amplitude for Vestibular Stochastic Stimulation to Improve Sensorimotor Function
Goel, R.; Kofman, I.; DeDios, Y. E.; Jeevarajan, J.; Stepanyan, V.; Nair, M.; Congdon, S.; Fregia, M.; Cohen, H.; Bloomberg, J. J.;
2014-01-01
Sensorimotor changes such as postural and gait instabilities can affect the functional performance of astronauts when they transition across different gravity environments. We are developing a method, based on stochastic resonance (SR), to enhance information transfer by applying non-zero levels of external noise on the vestibular system (vestibular stochastic resonance, VSR). Our previous work has shown the advantageous effects of VSR in a balance task of standing on an unstable surface. This technique to improve detection of vestibular signals uses a stimulus delivery system that is wearable or portable and provides imperceptibly low levels of white noise-based binaural bipolar electrical stimulation of the vestibular system. The goal of this project is to determine optimal levels of stimulation for SR applications by using a defined vestibular threshold of motion detection. A series of experiments were carried out to determine a robust paradigm to identify a vestibular threshold that can then be used to recommend optimal stimulation levels for SR training applications customized to each crewmember. Customizing stimulus intensity can maximize treatment effects. The amplitude of stimulation to be used in the VSR application has varied across studies in the literature such as 60% of nociceptive stimulus thresholds. We compared subjects' perceptual threshold with that obtained from two measures of body sway. Each test session was 463s long and consisted of several 15s sinusoidal stimuli, at different current amplitudes (0-2 mA), interspersed with 20-20.5s periods of no stimulation. Subjects sat on a chair with their eyes closed and had to report their perception of motion through a joystick. A force plate underneath the chair recorded medio-lateral shear forces and roll moments. First we determined the percent time during stimulation periods for which perception of motion (activity above a pre-defined threshold) was reported using the joystick, and body sway (two
Algorithms to Solve Stochastic H2/H∞ Control with State-Dependent Noise
Directory of Open Access Journals (Sweden)
Ming Gao
2014-01-01
Full Text Available This paper is concerned with the algorithms which solve H2/H∞ control problems of stochastic systems with state-dependent noise. Firstly, the algorithms for the finite and infinite horizon H2/H∞ control of discrete-time stochastic systems are reviewed and studied. Secondly, two algorithms are proposed for the finite and infinite horizon H2/H∞ control of continuous-time stochastic systems, respectively. Finally, several numerical examples are presented to show the effectiveness of the algorithms.
Stochastic Optimization of Economic Dispatch for Microgrid Based on Approximate Dynamic Programming
DEFF Research Database (Denmark)
Shuai, Hang; Fang, Jiakun; Ai, Xiaomeng
2018-01-01
This paper proposes an approximate dynamic programming (ADP) based approach for the economic dispatch (ED) of microgrid with distributed generations (DGs). The time-variant renewable generation, electricity price and the power demand are considered as stochastic variables in this work. An ADP based...... of historical prediction error distribution to reduce the influence of inaccurate forecast on the system operation. Numerical simulations demonstrate the effectiveness of the proposed approach. The near-optimal decision obtained by ADPED is very close to the global optimality. And it can be adaptive to both day...
Directory of Open Access Journals (Sweden)
Mourad Kerboua
2014-12-01
Full Text Available We introduce a new notion called fractional stochastic nonlocal condition, and then we study approximate controllability of class of fractional stochastic nonlinear differential equations of Sobolev type in Hilbert spaces. We use Hölder's inequality, fixed point technique, fractional calculus, stochastic analysis and methods adopted directly from deterministic control problems for the main results. A new set of sufficient conditions is formulated and proved for the fractional stochastic control system to be approximately controllable. An example is given to illustrate the abstract results.
Directory of Open Access Journals (Sweden)
Lin Wang
2013-01-01
Full Text Available The stochastic joint replenishment and delivery scheduling (JRD problem is a key issue in supply chain management and is a major concern for companies. So far, all of the work on stochastic JRDs is under explicit environment. However, the decision makers often have to face vague operational conditions. We develop a practical JRD model with stochastic demand under fuzzy backlogging cost, fuzzy minor ordering cost, and fuzzy inventory holding cost. The problem is to determine procedures for inventory management and vehicle routing simultaneously so that the warehouse may satisfy demand at a minimum long-run average cost. Subsequently, the fuzzy total cost is defuzzified by the graded mean integration representation and centroid approaches to rank fuzzy numbers. To find optimal coordinated decisions, a modified adaptive differential evolution algorithm (MADE is utilized to find the minimum long-run average total cost. Results of numerical examples indicate that the proposed JRD model can be used to simulate fuzzy environment efficiently, and the MADE outperforms genetic algorithm with a lower total cost and higher convergence rate. The proposed methods can be applied to many industries and can help obtaining optimal decisions under uncertain environment.
DEFF Research Database (Denmark)
Davidsen, Claus; Liu, Suxia; Mo, Xingguo
2015-01-01
Few studies address water quality in hydro-economic models, which often focus primarily on optimal allocation of water quantities. Water quality and water quantity are closely coupled, and optimal management with focus solely on either quantity or quality may cause large costs in terms of the oth......-er component. In this study, we couple water quality and water quantity in a joint hydro-economic catchment-scale optimization problem. Stochastic dynamic programming (SDP) is used to minimize the basin-wide total costs arising from water allocation, water curtailment and water treatment. The simple water......-economic optimiza-tion model can be used to assess costs of meeting additional constraints such as minimum water qual-ity or to economically prioritize investments in waste water treatment facilities based on economic criteria....
Zhou, Bao-Rong; Liu, Si-Liang; Zhang, Yong-Jun; Yi, Ying-Qi; Lin, Xiao-Ming
2017-05-01
To mitigate the impact on the distribution networks caused by the stochastic characteristic and high penetration of photovoltaic, a multi-objective optimal power flow model is proposed in this paper. The regulation capability of capacitor, inverter of photovoltaic and energy storage system embedded in active distribution network are considered to minimize the expected value of active power the T loss and probability of voltage violation in this model. Firstly, a probabilistic power flow based on cumulant method is introduced to calculate the value of the objectives. Secondly, NSGA-II algorithm is adopted for optimization to obtain the Pareto optimal solutions. Finally, the best compromise solution can be achieved through fuzzy membership degree method. By the multi-objective optimization calculation of IEEE34-node distribution network, the results show that the model can effectively improve the voltage security and economy of the distribution network on different levels of photovoltaic penetration.
McDonnell, Mark D.; Stocks, Nigel G.; Abbott, Derek
2007-06-01
Suprathreshold stochastic resonance (SSR) is a form of noise-enhanced signal transmission that occurs in a parallel array of independently noisy identical threshold nonlinearities, including model neurons. Unlike most forms of stochastic resonance, the output response to suprathreshold random input signals of arbitrary magnitude is improved by the presence of even small amounts of noise. In this paper, the information transmission performance of SSR in the limit of a large array size is considered. Using a relationship between Shannon’s mutual information and Fisher information, a sufficient condition for optimality, i.e., channel capacity, is derived. It is shown that capacity is achieved when the signal distribution is Jeffrey’s prior, as formed from the noise distribution, or when the noise distribution depends on the signal distribution via a cosine relationship. These results provide theoretical verification and justification for previous work in both computational neuroscience and electronics.
Multiobjective optimization in structural design with uncertain parameters and stochastic processes
Rao, S. S.
1984-01-01
The application of multiobjective optimization techniques to structural design problems involving uncertain parameters and random processes is studied. The design of a cantilever beam with a tip mass subjected to a stochastic base excitation is considered for illustration. Several of the problem parameters are assumed to be random variables and the structural mass, fatigue damage, and negative of natural frequency of vibration are considered for minimization. The solution of this three-criteria design problem is found by using global criterion, utility function, game theory, goal programming, goal attainment, bounded objective function, and lexicographic methods. It is observed that the game theory approach is superior in finding a better optimum solution, assuming the proper balance of the various objective functions. The procedures used in the present investigation are expected to be useful in the design of general dynamic systems involving uncertain parameters, stochastic process, and multiple objectives.
A Novel Biobjective Risk-Based Model for Stochastic Air Traffic Network Flow Optimization Problem.
Cai, Kaiquan; Jia, Yaoguang; Zhu, Yanbo; Xiao, Mingming
2015-01-01
Network-wide air traffic flow management (ATFM) is an effective way to alleviate demand-capacity imbalances globally and thereafter reduce airspace congestion and flight delays. The conventional ATFM models assume the capacities of airports or airspace sectors are all predetermined. However, the capacity uncertainties due to the dynamics of convective weather may make the deterministic ATFM measures impractical. This paper investigates the stochastic air traffic network flow optimization (SATNFO) problem, which is formulated as a weighted biobjective 0-1 integer programming model. In order to evaluate the effect of capacity uncertainties on ATFM, the operational risk is modeled via probabilistic risk assessment and introduced as an extra objective in SATNFO problem. Computation experiments using real-world air traffic network data associated with simulated weather data show that presented model has far less constraints compared to stochastic model with nonanticipative constraints, which means our proposed model reduces the computation complexity.
Robust Performance And Dissipation of Stochastic Control Systems
DEFF Research Database (Denmark)
Thygesen, Uffe Høgsbro
and topology on the space of supply rates. For instance, we give conditions under which the available storage is a continuous convex function of the supply rate. Dissipation theory in the existing literature applies only to deterministic systems. This is unfortunate since robust control applications typically...... also contain uncertainty which is better modelled in a probabilistic framework, such as measurement noise. This motivates an extension of the theory of dissipative dynamic systems to stochastic systems. This dissertation presents such an extension: We propose a definition and generalize fundamental...... in terms of dissipation, after which we give sufficient conditions for these requirements to be robust towards multi-dissipative perturbations. A final contribution of the dissertation concerns the problem of simultaneous H-infinity control of a finite number of linear time invariant plants. This problem...
Rodríguez, Clara Rojas; Fernández Calvo, Gabriel; Ramis-Conde, Ignacio; Belmonte-Beitia, Juan
2017-08-01
Tumor-normal cell interplay defines the course of a neoplastic malignancy. The outcome of this dual relation is the ultimate prevailing of one of the cells and the death or retreat of the other. In this paper we study the mathematical principles that underlay one important scenario: that of slow-progressing cancers. For this, we develop, within a stochastic framework, a mathematical model to account for tumor-normal cell interaction in such a clinically relevant situation and derive a number of deterministic approximations from the stochastic model. We consider in detail the existence and uniqueness of the solutions of the deterministic model and study the stability analysis. We then focus our model to the specific case of low grade gliomas, where we introduce an optimal control problem for different objective functionals under the administration of chemotherapy. We derive the conditions for which singular and bang-bang control exist and calculate the optimal control and states.
Johnson, Paul; Howell, Sydney; Duck, Peter
2017-08-13
A mixed financial/physical partial differential equation (PDE) can optimize the joint earnings of a single wind power generator (WPG) and a generic energy storage device (ESD). Physically, the PDE includes constraints on the ESD's capacity, efficiency and maximum speeds of charge and discharge. There is a mean-reverting daily stochastic cycle for WPG power output. Physically, energy can only be produced or delivered at finite rates. All suppliers must commit hourly to a finite rate of delivery C, which is a continuous control variable that is changed hourly. Financially, we assume heavy 'system balancing' penalties in continuous time, for deviations of output rate from the commitment C Also, the electricity spot price follows a mean-reverting stochastic cycle with a strong evening peak, when system balancing penalties also peak. Hence the economic goal of the WPG plus ESD, at each decision point, is to maximize expected net present value (NPV) of all earnings (arbitrage) minus the NPV of all expected system balancing penalties, along all financially/physically feasible future paths through state space. Given the capital costs for the various combinations of the physical parameters, the design and operating rules for a WPG plus ESD in a finite market may be jointly optimizable.This article is part of the themed issue 'Energy management: flexibility, risk and optimization'. © 2017 The Author(s).
Stochastic Optimal Wind Power Bidding Strategy in Short-Term Electricity Market
DEFF Research Database (Denmark)
Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte
2012-01-01
market in order to deal with the uncertainty of the regulation price, the activated regulation of the power system and the forecasted wind power generation. The Danish short-term electricity market and a wind farm in western Denmark are chosen as study cases due to the high wind power penetration here......Due to the fluctuating nature and non-perfect forecast of the wind power, the wind power owners are penalized for the imbalance costs of the regulation, when they trade wind power in the short-term liberalized electricity market. Therefore, in this paper a formulation of an imbalance cost...... minimization problem for trading wind power in the short-term electricity market is described, to help the wind power owners optimize their bidding strategy. Stochastic optimization and a Monte Carlo method are adopted to find the optimal bidding strategy for trading wind power in the short-term electricity...
On the Use of Information Quality in Stochastic Networked Control Systems
DEFF Research Database (Denmark)
Olsen, Rasmus Løvenstein; Madsen, Jacob Theilgaard; Rasmussen, Jakob Gulddahl
2017-01-01
Networked control is challenged by stochastic delays that are caused by the communication networks as well as by the approach taken to exchange information about system state and set-points. Combined with stochastic changing information, there is a probability that information at the controller...
Optimal magnetic attitude control
DEFF Research Database (Denmark)
Wisniewski, Rafal; Markley, F.L.
1999-01-01
because control torques can only be generated perpendicular to the local geomagnetic field vector. This has been a serious obstacle for using magnetorquer based control for three-axis stabilization of a low earth orbit satellite. The problem of controlling the spacecraft attitude using only magnetic......Magnetic torquing is attractive as means of control for small satellites. The actuation principle is to use the interaction between the earth's magnetic field and a magnetic field generated by a coil set in the satellite. This control principle is inherently time-varying, and difficult to use...
Directory of Open Access Journals (Sweden)
Angel A. Juan
2015-12-01
Full Text Available Many combinatorial optimization problems (COPs encountered in real-world logistics, transportation, production, healthcare, financial, telecommunication, and computing applications are NP-hard in nature. These real-life COPs are frequently characterized by their large-scale sizes and the need for obtaining high-quality solutions in short computing times, thus requiring the use of metaheuristic algorithms. Metaheuristics benefit from different random-search and parallelization paradigms, but they frequently assume that the problem inputs, the underlying objective function, and the set of optimization constraints are deterministic. However, uncertainty is all around us, which often makes deterministic models oversimplified versions of real-life systems. After completing an extensive review of related work, this paper describes a general methodology that allows for extending metaheuristics through simulation to solve stochastic COPs. ‘Simheuristics’ allow modelers for dealing with real-life uncertainty in a natural way by integrating simulation (in any of its variants into a metaheuristic-driven framework. These optimization-driven algorithms rely on the fact that efficient metaheuristics already exist for the deterministic version of the corresponding COP. Simheuristics also facilitate the introduction of risk and/or reliability analysis criteria during the assessment of alternative high-quality solutions to stochastic COPs. Several examples of applications in different fields illustrate the potential of the proposed methodology.
Optimal harvesting strategy and stochastic analysis for a two species commensaling system
Directory of Open Access Journals (Sweden)
M.N. Srinivas
2014-06-01
Full Text Available In this paper, we have considered a mathematical model of commensalism between two species (S1 and S2 with a limited resource of food, in addition the paper also highlights how the commensal and host species are harvested. The model is characterized by a couple of first order non-linear differential equations. Here, the stable equilibrium point is identified and its stability (both local and global criteria are discussed (both analytical and numerical. An optimal harvesting strategy is being conversed using Pontriyagin’s maximum principle. We have explored the stochastic stability by finding the corresponding variances. Finally numerical simulations illustrate the effectiveness of our results.
Optimal coupling of heat and electricity systems: A stochastic hierarchical approach
DEFF Research Database (Denmark)
Mitridati, Lesia Marie-Jeanne Mariane; Pinson, Pierre
2016-01-01
penetration of CHPs and wind. The objective of this optimization problem is to minimize the heat production cost, subject to constraints describing day-ahead electricity market clearing scenarios. Uncertainties concerning wind power production, electricity demand and rival participants offers are efficiently...... already exist due to the participation of CHPs in both markets. New market structures must be developed in order to exploit these synergies. Recognizing the above-mentioned challenges this paper proposes a stochastic hierarchical formulation of the heat economic dispatch problem in a system with high...
Energy Technology Data Exchange (ETDEWEB)
Araujo, Leonardo Rodrigues de [Instituto Federal do Espirito Santo, Vitoria, ES (Brazil)], E-mail: leoaraujo@ifes.edu.br; Donatelli, Joao Luiz Marcon [Universidade Federal do Espirito Santo (UFES), Vitoria, ES (Brazil)], E-mail: joaoluiz@npd.ufes.br; Silva, Edmar Alino da Cruz [Instituto Tecnologico de Aeronautica (ITA/CTA), Sao Jose dos Campos, SP (Brazil); Azevedo, Joao Luiz F. [Instituto de Aeronautica e Espaco (CTA/IAE/ALA), Sao Jose dos Campos, SP (Brazil)
2010-07-01
Thermal systems are essential in facilities such as thermoelectric plants, cogeneration plants, refrigeration systems and air conditioning, among others, in which much of the energy consumed by humanity is processed. In a world with finite natural sources of fuels and growing energy demand, issues related with thermal system design, such as cost estimative, design complexity, environmental protection and optimization are becoming increasingly important. Therefore the need to understand the mechanisms that degrade energy, improve energy sources use, reduce environmental impacts and also reduce project, operation and maintenance costs. In recent years, a consistent development of procedures and techniques for computational design of thermal systems has occurred. In this context, the fundamental objective of this study is a performance comparative analysis of structural and parametric optimization of a cogeneration system using stochastic methods: genetic algorithm and simulated annealing. This research work uses a superstructure, modelled in a process simulator, IPSEpro of SimTech, in which the appropriate design case studied options are included. Accordingly, the cogeneration system optimal configuration is determined as a consequence of the optimization process, restricted within the configuration options included in the superstructure. The optimization routines are written in MsExcel Visual Basic, in order to work perfectly coupled to the simulator process. At the end of the optimization process, the system optimal configuration, given the characteristics of each specific problem, should be defined. (author)
Wu, Xiaohua; Hu, Xiaosong; Moura, Scott; Yin, Xiaofeng; Pickert, Volker
2016-11-01
Energy management strategies are instrumental in the performance and economy of smart homes integrating renewable energy and energy storage. This article focuses on stochastic energy management of a smart home with PEV (plug-in electric vehicle) energy storage and photovoltaic (PV) array. It is motivated by the challenges associated with sustainable energy supplies and the local energy storage opportunity provided by vehicle electrification. This paper seeks to minimize a consumer's energy charges under a time-of-use tariff, while satisfying home power demand and PEV charging requirements, and accommodating the variability of solar power. First, the random-variable models are developed, including Markov Chain model of PEV mobility, as well as predictive models of home power demand and PV power supply. Second, a stochastic optimal control problem is mathematically formulated for managing the power flow among energy sources in the smart home. Finally, based on time-varying electricity price, we systematically examine the performance of the proposed control strategy. As a result, the electric cost is 493.6% less for a Tesla Model S with optimal stochastic dynamic programming (SDP) control relative to the no optimal control case, and it is by 175.89% for a Nissan Leaf.
Mulavara, Ajitkumar; Fiedler, Matthew; Kofman, Igor; Peters, Brian; Wood, Scott; Serrador, Jorge; Cohen, Helen; Reschke, Millard; Bloomberg, Jacob
2010-01-01
Stochastic resonance (SR) is a mechanism by which noise can assist and enhance the response of neural systems to relevant sensory signals. Application of imperceptible SR noise coupled with sensory input through the proprioceptive, visual, or vestibular sensory systems has been shown to improve motor function. Specifically, studies have shown that that vestibular electrical stimulation by imperceptible stochastic noise, when applied to normal young and elderly subjects, significantly improved their ocular stabilization reflexes in response to whole-body tilt as well as balance performance during postural disturbances. The goal of this study was to optimize the characteristics of the stochastic vestibular signals for balance performance during standing on an unstable surface. Subjects performed a standardized balance task of standing on a block of 10 cm thick medium density foam with their eyes closed for a total of 40 seconds. Stochastic electrical stimulation was applied to the vestibular system through electrodes placed over the mastoid process behind the ears during the last 20 seconds of the test period. A custom built constant current stimulator with subject isolation delivered the stimulus. Stimulation signals were generated with frequencies in the bandwidth of 1-2 Hz and 0.01-30 Hz. Amplitude of the signals were varied in the range of 0- +/-700 micro amperes with the RMS of the signal increased by 30 micro amperes for each 100 micro amperes increase in the current range. Balance performance was measured using a force plate under the foam block and inertial motion sensors placed on the torso and head segments. Preliminary results indicate that balance performance is improved in the range of 10-25% compared to no stimulation conditions. Subjects improved their performance consistently across the blocks of stimulation. Further the signal amplitude at which the performance was maximized was different in the two frequency ranges. Optimization of the frequency and
Multistage Stochastic Programming and its Applications in Energy Systems Modeling and Optimization
Golari, Mehdi
Electric energy constitutes one of the most crucial elements to almost every aspect of life of people. The modern electric power systems face several challenges such as efficiency, economics, sustainability, and reliability. Increase in electrical energy demand, distributed generations, integration of uncertain renewable energy resources, and demand side management are among the main underlying reasons of such growing complexity. Additionally, the elements of power systems are often vulnerable to failures because of many reasons, such as system limits, weak conditions, unexpected events, hidden failures, human errors, terrorist attacks, and natural disasters. One common factor complicating the operation of electrical power systems is the underlying uncertainties from the demands, supplies and failures of system components. Stochastic programming provides a mathematical framework for decision making under uncertainty. It enables a decision maker to incorporate some knowledge of the intrinsic uncertainty into the decision making process. In this dissertation, we focus on application of two-stage and multistage stochastic programming approaches to electric energy systems modeling and optimization. Particularly, we develop models and algorithms addressing the sustainability and reliability issues in power systems. First, we consider how to improve the reliability of power systems under severe failures or contingencies prone to cascading blackouts by so called islanding operations. We present a two-stage stochastic mixed-integer model to find optimal islanding operations as a powerful preventive action against cascading failures in case of extreme contingencies. Further, we study the properties of this problem and propose efficient solution methods to solve this problem for large-scale power systems. We present the numerical results showing the effectiveness of the model and investigate the performance of the solution methods. Next, we address the sustainability issue
Optimal control in thermal engineering
Badescu, Viorel
2017-01-01
This book is the first major work covering applications in thermal engineering and offering a comprehensive introduction to optimal control theory, which has applications in mechanical engineering, particularly aircraft and missile trajectory optimization. The book is organized in three parts: The first part includes a brief presentation of function optimization and variational calculus, while the second part presents a summary of the optimal control theory. Lastly, the third part describes several applications of optimal control theory in solving various thermal engineering problems. These applications are grouped in four sections: heat transfer and thermal energy storage, solar thermal engineering, heat engines and lubrication.Clearly presented and easy-to-use, it is a valuable resource for thermal engineers and thermal-system designers as well as postgraduate students.
A stochastic control approach to Slotted-ALOHA random access protocol
Pietrabissa, Antonio
2013-12-01
ALOHA random access protocols are distributed protocols based on transmission probabilities, that is, each node decides upon packet transmissions according to a transmission probability value. In the literature, ALOHA protocols are analysed by giving necessary and sufficient conditions for the stability of the queues of the node buffers under a control vector (whose elements are the transmission probabilities assigned to the nodes), given an arrival rate vector (whose elements represent the rates of the packets arriving in the node buffers). The innovation of this work is that, given an arrival rate vector, it computes the optimal control vector by defining and solving a stochastic control problem aimed at maximising the overall transmission efficiency, while keeping a grade of fairness among the nodes. Furthermore, a more general case in which the arrival rate vector changes in time is considered. The increased efficiency of the proposed solution with respect to the standard ALOHA approach is evaluated by means of numerical simulations.
Tuning of Controller for Type 1 Diabetes Treatment with Stochastic Differential Equations
DEFF Research Database (Denmark)
Duun-Henriksen, Anne Katrine; Boiroux, Dimitri; Schmidt, Signe
2012-01-01
with a continuous glucose monitor (CGM) frequently observing the glucose level. Automatic control of the insulin pump based on CGM observations would ease the burden of constant diabetes treatment and management. We have developed a controller designed to keep the blood glucose level in the normal range......People with type 1 diabetes need several insulin injections every day to keep their blood glucose level in the normal range and thereby avoiding the acute and long term complications of diabetes. One of the recent treatments consists of a pump injecting insulin into the subcutaneous layer combined...... due to the noise corrupted observations from the CGM. In this paper we present a method to estimate the optimal Kalman gain in the controller based on stochastic differential equation modeling. With this model type we could estimate the process noise and observation noise separately based on data from...
Alirezaei, M.; Kanarachos, S.A.; Scheepers, B.T.M.; Maurice, J.P.
2013-01-01
The Integrated Vehicle Safety Department of TNO (Dutch Organization for Applied Scientific Research) investigates the application of modern control methods in the Integrated Vehicle Dynamics Control (IVDC) field, as a strategic research topic of the Beyond Safe framework. The aim of IVDC is to
Juriev, D V
1995-01-01
Stochastic properties of the long-time behaviour of a continuously observed (and interactively controlled) quantum-field top are investigated mathematically. Applications to interactively controlled stochastic computer-graphic dynamic systems are discussed.
a Stochastic Approach to Multiobjective Optimization of Large-Scale Water Reservoir Networks
Bottacin-Busolin, A.; Worman, A. L.
2013-12-01
A main challenge for the planning and management of water resources is the development of multiobjective strategies for operation of large-scale water reservoir networks. The optimal sequence of water releases from multiple reservoirs depends on the stochastic variability of correlated hydrologic inflows and on various processes that affect water demand and energy prices. Although several methods have been suggested, large-scale optimization problems arising in water resources management are still plagued by the high dimensional state space and by the stochastic nature of the hydrologic inflows. In this work, the optimization of reservoir operation is approached using approximate dynamic programming (ADP) with policy iteration and function approximators. The method is based on an off-line learning process in which operating policies are evaluated for a number of stochastic inflow scenarios, and the resulting value functions are used to design new, improved policies until convergence is attained. A case study is presented of a multi-reservoir system in the Dalälven River, Sweden, which includes 13 interconnected reservoirs and 36 power stations. Depending on the late spring and summer peak discharges, the lowlands adjacent to Dalälven can often be flooded during the summer period, and the presence of stagnating floodwater during the hottest months of the year is the cause of a large proliferation of mosquitos, which is a major problem for the people living in the surroundings. Chemical pesticides are currently being used as a preventive countermeasure, which do not provide an effective solution to the problem and have adverse environmental impacts. In this study, ADP was used to analyze the feasibility of alternative operating policies for reducing the flood risk at a reasonable economic cost for the hydropower companies. To this end, mid-term operating policies were derived by combining flood risk reduction with hydropower production objectives. The performance
Universal fuzzy integral sliding-mode controllers for stochastic nonlinear systems.
Gao, Qing; Liu, Lu; Feng, Gang; Wang, Yong
2014-12-01
In this paper, the universal integral sliding-mode controller problem for the general stochastic nonlinear systems modeled by Itô type stochastic differential equations is investigated. One of the main contributions is that a novel dynamic integral sliding mode control (DISMC) scheme is developed for stochastic nonlinear systems based on their stochastic T-S fuzzy approximation models. The key advantage of the proposed DISMC scheme is that two very restrictive assumptions in most existing ISMC approaches to stochastic fuzzy systems have been removed. Based on the stochastic Lyapunov theory, it is shown that the closed-loop control system trajectories are kept on the integral sliding surface almost surely since the initial time, and moreover, the stochastic stability of the sliding motion can be guaranteed in terms of linear matrix inequalities. Another main contribution is that the results of universal fuzzy integral sliding-mode controllers for two classes of stochastic nonlinear systems, along with constructive procedures to obtain the universal fuzzy integral sliding-mode controllers, are provided, respectively. Simulation results from an inverted pendulum example are presented to illustrate the advantages and effectiveness of the proposed approaches.
Optimal control theory an introduction
Kirk, Donald E
2004-01-01
Optimal control theory is the science of maximizing the returns from and minimizing the costs of the operation of physical, social, and economic processes. Geared toward upper-level undergraduates, this text introduces three aspects of optimal control theory: dynamic programming, Pontryagin's minimum principle, and numerical techniques for trajectory optimization.Chapters 1 and 2 focus on describing systems and evaluating their performances. Chapter 3 deals with dynamic programming. The calculus of variations and Pontryagin's minimum principle are the subjects of chapters 4 and 5, and chapter
DEFF Research Database (Denmark)
Davidsen, Claus; Liu, Suxia; Mo, Xinguo
2014-01-01
to head-dependent pumping costs. These dynamic pumping costs strongly affect the total costs and can lead to non-convexity of the future cost function. The water user groups (agriculture, industry, domestic) are characterized by inelastic demands and fixed water allocation and water supply curtailment......Optimal management of conjunctive use of surface water and groundwater has been attempted with different algorithms in the literature. In this study, a hydro-economic modelling approach to optimize conjunctive use of scarce surface water and groundwater resources under uncertainty is presented....... A stochastic dynamic programming (SDP) approach is used to minimize the basin-wide total costs arising from water allocations and water curtailments. Dynamic allocation problems with inclusion of groundwater resources proved to be more complex to solve with SDP than pure surface water allocation problems due...
ASD+M: Automatic parameter tuning in stochastic optimization and on-line learning.
Wawrzyński, Paweł
2017-12-01
In this paper the classic momentum algorithm for stochastic optimization is considered. A method is introduced that adjusts coefficients for this algorithm during its operation. The method does not depend on any preliminary knowledge of the optimization problem. In the experimental study, the method is applied to on-line learning in feed-forward neural networks, including deep auto-encoders, and outperforms any fixed coefficients. The method eliminates coefficients that are difficult to determine, with profound influence on performance. While the method itself has some coefficients, they are ease to determine and sensitivity of performance to them is low. Consequently, the method makes on-line learning a practically parameter-free process and broadens the area of potential application of this technology. Copyright © 2017 Elsevier Ltd. All rights reserved.
Directory of Open Access Journals (Sweden)
Bhowmick Jhuma
2012-01-01
Full Text Available The paper investigates a single period imperfect inventory model with price dependent stochastic demand and partial backlogging. The backorder rate is a nonlinear non-increasing function of the magnitude of shortage. Two special cases are considered assuming that the percentage of defective items follows a truncated exponential distribution and a normal distribution respectively. The optimal order quantity and the optimal mark up value are determined such that the expected total profit of the system is maximized. Numerical example is given to illustrate the proposed model which is compared with the traditional model of perfect stock. Sensitivity analysis is performed to explain the behavior of the proposed model with respect to the key parameters.
Adaptive Near-Optimal Multiuser Detection Using a Stochastic and Hysteretic Hopfield Net Receiver
Directory of Open Access Journals (Sweden)
Gábor Jeney
2003-01-01
Full Text Available This paper proposes a novel adaptive MUD algorithm for a wide variety (practically any kind of interference limited systems, for example, code division multiple access (CDMA. The algorithm is based on recently developed neural network techniques and can perform near optimal detection in the case of unknown channel characteristics. The proposed algorithm consists of two main blocks; one estimates the symbols sent by the transmitters, the other identifies each channel of the corresponding communication links. The estimation of symbols is carried out either by a stochastic Hopfield net (SHN or by a hysteretic neural network (HyNN or both. The channel identification is based on either the self-organizing feature map (SOM or the learning vector quantization (LVQ. The combination of these two blocks yields a powerful real-time detector with near optimal performance. The performance is analyzed by extensive simulations.
Agha-mohammadi, Ali-akbar
2013-06-01
This paper is concerned with the problem of stochastic optimal control (possibly with imperfect measurements) in the presence of constraints. We propose a computationally tractable framework to address this problem. The method lends itself to sampling-based methods where we construct a graph in the state space of the problem, on which a Dynamic Programming (DP) is solved and a closed-loop feedback policy is computed. The constraints are seamlessly incorporated to the control policy selection by including their effect on the transition probabilities of the graph edges. We present a unified framework that is applicable both in the state space (with perfect measurements) and in the information space (with imperfect measurements).
Planning a Target Renewable Portfolio using Atmospheric Modeling and Stochastic Optimization
Hart, E.; Jacobson, M. Z.
2009-12-01
A number of organizations have suggested that an 80% reduction in carbon emissions by 2050 is a necessary step to mitigate climate change and that decarbonization of the electricity sector is a crucial component of any strategy to meet this target. Integration of large renewable and intermittent generators poses many new problems in power system planning. In this study, we attempt to determine an optimal portfolio of renewable resources to meet best the fluctuating California load while also meeting an 80% carbon emissions reduction requirement. A stochastic optimization scheme is proposed that is based on a simplified model of the California electricity grid. In this single-busbar power system model, the load is met with generation from wind, solar thermal, photovoltaic, hydroelectric, geothermal, and natural gas plants. Wind speeds and insolation are calculated using GATOR-GCMOM, a global-through-urban climate-weather-air pollution model. Fields were produced for California and Nevada at 21km SN by 14 km WE spatial resolution every 15 minutes for the year 2006. Load data for 2006 were obtained from the California ISO OASIS database. Maximum installed capacities for wind and solar thermal generation were determined using a GIS analysis of potential development sites throughout the state. The stochastic optimization scheme requires that power balance be achieved in a number of meteorological and load scenarios that deviate from the forecasted (or modeled) data. By adjusting the error distributions of the forecasts, the model describes how improvements in wind speed and insolation forecasting may affect the optimal renewable portfolio. Using a simple model, we describe the diversity, size, and sensitivities of a renewable portfolio that is best suited to the resources and needs of California and that contributes significantly to reduction of the state’s carbon emissions.
Practice of contemporary dance promotes stochastic postural control in aging.
Ferrufino, Lena; Bril, Blandine; Dietrich, Gilles; Nonaka, Tetsushi; Coubard, Olivier A
2011-01-01
As society ages and the frequency of falls increases, counteracting gait and posture decline is a challenging issue for countries of the developed world. Previous studies have shown that exercise and hazard management help to improve balance and/or decrease the risks for falling in normal aging. Motor activity based on motor-skill learning, particularly dance, can also benefit balance and decreases falls with age. Recent studies have suggested that older dancers have better balance, posture, or gait than non-dancers. Additionally, clinical or laboratory measures have shown improvements in some aspects of balance after dance interventions in elderly trainees. This study examined the impact of contemporary dance (CD) and of fall prevention (FP) programs on postural control of older adults. Posturography of quiet upright stance was performed in 41 participants aged 59-86 years before and after 4.4-month training in either CD or FP once a week. Though classical statistic scores failed to show any effect, dynamic analyses of the center-of-pressure displacements revealed significant changes after training. Specifically, practice of CD enhanced the critical time interval in diffusion analysis, and reduced recurrence and mathematical stability in recurrence quantification analysis, whereas practice of FP induced or tended to induce the reverse patterns. Such effects were obtained only in the eyes open condition. We suggest that CD training based on motor improvisation favored stochastic posture inducing plasticity in motor control, while FP training based on more stereotyped behaviors did not.
Practice of contemporary dance promotes stochastic postural control in aging
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Lena eFerrufino
2011-12-01
Full Text Available As society ages and the frequency of falls increases, counteracting gait and posture decline is a challenging issue for countries of the developed world. Previous studies have shown that exercise and hazard management help to improve balance and/or decrease the risks for falling in normal aging. Motor activity based on motor-skill learning, particularly dance, can also benefit balance and decreases falls with age. Recent studies have suggested that older dancers had better balance, posture, or gait than non-dancers. Additionally, clinical or laboratory measures have shown improvements in some aspects of balance after dance interventions in elderly trainees. This study examined the impact of contemporary dance (CD and of fall prevention (FP programs on postural control of older adults. Posturography of quiet upright stance was performed in forty-one participants aged 59-86 years before and after 4.4-month training in either CD or FP once a week. Though classical statistic scores failed to show any effect, dynamic analyses of the center-of-pressure displacements revealed significant changes after training. Specifically, practice of CD enhanced the critical time interval in diffusion analysis, and reduced recurrence and mathematical stability in recurrence quantification analysis, whereas practice of FP induced or tended to induce the reverse patterns. We suggest that CD training based on motor improvisation favored stochastic posture inducing plasticity in motor control, while FP training based on more stereotyped behaviors did not.
Fault Tolerant Optimal Control.
1982-08-01
4.15) error covariance 1-)=Ar P extrapolation k kik-i (k-l)’(k.) +(r ) k-i y (l)(416 X-estimate A r k- C~kxk( (417update Xk xk k1 Prk tD (rkul J...control we choose. That is, 127 u 2 N-1 V (x ,r =1) =mm. 2 VN-i N-i N- l ) P(=nl;xN) [XN+VN (XN, rN=1)]UN-1 + p (1,2 :xN)x [ 2VN (Xr=2)] 2 N-1 min 2...2.75 the best value of xN in the interval (-1,1) isx 1. This is achieved if N x -a(1)x(X ) N N-1 UN- N-1 b(l) =1 XN-1 and the resulting cost is 2VN - (xN
Hammed, Khurram; Ghauri, Sajjad Ahmed; Qamar, M. Salman
2016-01-01
This paper presents a stochastic global optimization technique known as Particle Swarm Optimization (PSO) for joint estimation of amplitude and direction of arrival of the targets in RADAR communication system. The proposed scheme is an excellent optimization methodology and a promising approach for solving the DOA problems in communication systems. Moreover, PSO is quite suitable for real time scenario and easy to implement in hardware. In this study, uniform linear array is used and targets...
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Bo Shen
2012-01-01
measurements, randomly varying sensor delays, signal quantization, sensor saturations, and signal sampling. With such incomplete information, the developments on various filtering and control issues are reviewed in great detail. In particular, the addressed nonlinear stochastic complex systems are so comprehensive that they include conventional nonlinear stochastic systems, different kinds of complex networks, and a large class of sensor networks. The corresponding filtering and control technologies for such nonlinear stochastic complex systems are then discussed. Subsequently, some latest results on the filtering and control problems for the complex systems with incomplete information are given. Finally, conclusions are drawn and several possible future research directions are pointed out.
A Stochastic Inversion Method for Potential Field Data: Ant Colony Optimization
Liu, Shuang; Hu, Xiangyun; Liu, Tianyou
2014-07-01
Simulating natural ants' foraging behavior, the ant colony optimization (ACO) algorithm performs excellently in combinational optimization problems, for example the traveling salesman problem and the quadratic assignment problem. However, the ACO is seldom used to inverted for gravitational and magnetic data. On the basis of the continuous and multi-dimensional objective function for potential field data optimization inversion, we present the node partition strategy ACO (NP-ACO) algorithm for inversion of model variables of fixed shape and recovery of physical property distributions of complicated shape models. We divide the continuous variables into discrete nodes and ants directionally tour the nodes by use of transition probabilities. We update the pheromone trails by use of Gaussian mapping between the objective function value and the quantity of pheromone. It can analyze the search results in real time and promote the rate of convergence and precision of inversion. Traditional mapping, including the ant-cycle system, weaken the differences between ant individuals and lead to premature convergence. We tested our method by use of synthetic data and real data from scenarios involving gravity and magnetic anomalies. The inverted model variables and recovered physical property distributions were in good agreement with the true values. The ACO algorithm for binary representation imaging and full imaging can recover sharper physical property distributions than traditional linear inversion methods. The ACO has good optimization capability and some excellent characteristics, for example robustness, parallel implementation, and portability, compared with other stochastic metaheuristics.
Optimal phasing of district heating network investments using multi-stage stochastic programming
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Romain Stephane Claude Lambert
2016-06-01
Full Text Available Most design optimisation studies for district heating systems have focused on the optimal sizing of network assets and on the location of production units. However, the strategic value of the flexibility in phasing of the inherently modular heat networks, which is an important aspect in many feasibility studies for district heating schemes in the UK, is almost always neglected in the scientific literature. This paper considers the sequential problem faced by a decision-maker in the phasing of long-term investments into district heating networks and their expansions. The problem is formulated as a multi-stage stochastic programme to determine the annual capital expenditure that maximises the expected net present value of the project. The optimisation approach is illustrated by applying it to the hypothetical case of the UK’s Marston Vale eco town. It was found that the approach is capable of simulating the optimal growth of a network, from both a single heat source or separate islands of growth, as well as the optimal marginal expansion of an existing district heating network. The proposed approach can be used by decision makers as a framework to determine both the optimal phasing and extension of district heating networks and can be adapted simply to various, more complex real-life situations by introducing additional constraints and parameters. The versatility of the base formulation also makes it a powerful approach regardless of the size of the network and also potentially applicable to cooling networks.
National Research Council Canada - National Science Library
Li, Zhongwen; Zang, Chuanzhi; Zeng, Peng; Yu, Haibin
2016-01-01
.... In this paper, a combined stochastic programming and receding horizon control (SPRHC) strategy is proposed for microgrid energy management under uncertainty, which combines the advantages of two-stage stochastic programming (SP...
Simulation of stochastic systems via polynomial chaos expansions and convex optimization.
Fagiano, Lorenzo; Khammash, Mustafa
2012-09-01
Polynomial chaos expansions represent a powerful tool to simulate stochastic models of dynamical systems. Yet, deriving the expansion's coefficients for complex systems might require a significant and nontrivial manipulation of the model, or the computation of large numbers of simulation runs, rendering the approach too time consuming and impracticable for applications with more than a handful of random variables. We introduce a computationally tractable technique for computing the coefficients of polynomial chaos expansions. The approach exploits a regularization technique with a particular choice of weighting matrices, which allows to take into account the specific features of polynomial chaos expansions. The method, completely based on convex optimization, can be applied to problems with a large number of random variables and uses a modest number of Monte Carlo simulations, while avoiding model manipulations. Additional information on the stochastic process, when available, can be also incorporated in the approach by means of convex constraints. We show the effectiveness of the proposed technique in three applications in diverse fields, including the analysis of a nonlinear electric circuit, a chaotic model of organizational behavior, and finally a chemical oscillator.
The role of stochasticity in an information-optimal neural population code
Stocks, N. G.; Nikitin, A. P.; McDonnell, M. D.; Morse, R. P.
2009-12-01
In this paper we consider the optimisation of Shannon mutual information (MI) in the context of two model neural systems. The first is a stochastic pooling network (population) of McCulloch-Pitts (MP) type neurons (logical threshold units) subject to stochastic forcing; the second is (in a rate coding paradigm) a population of neurons that each displays Poisson statistics (the so called 'Poisson neuron'). The mutual information is optimised as a function of a parameter that characterises the 'noise level'-in the MP array this parameter is the standard deviation of the noise; in the population of Poisson neurons it is the window length used to determine the spike count. In both systems we find that the emergent neural architecture and, hence, code that maximises the MI is strongly influenced by the noise level. Low noise levels leads to a heterogeneous distribution of neural parameters (diversity), whereas, medium to high noise levels result in the clustering of neural parameters into distinct groups that can be interpreted as subpopulations. In both cases the number of subpopulations increases with a decrease in noise level. Our results suggest that subpopulations are a generic feature of an information optimal neural population.
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Yongjun Wu
2011-01-01
Full Text Available We study the stochastic optimal bounded control for minimizing the stationary response of strongly nonlinear oscillators under combined harmonic and wide-band noise excitations. The stochastic averaging method and the dynamical programming principle are combined to obtain the fully averaged Itô stochastic differential equations which describe the original controlled strongly nonlinear system approximately. The stationary joint probability density of the amplitude and phase difference of the optimally controlled systems is obtained from solving the corresponding reduced Fokker-Planck-Kolmogorov (FPK equation. An example is given to illustrate the proposed procedure, and the theoretical results are verified by Monte Carlo simulation.
Optimal control linear quadratic methods
Anderson, Brian D O
2007-01-01
This augmented edition of a respected text teaches the reader how to use linear quadratic Gaussian methods effectively for the design of control systems. It explores linear optimal control theory from an engineering viewpoint, with step-by-step explanations that show clearly how to make practical use of the material.The three-part treatment begins with the basic theory of the linear regulator/tracker for time-invariant and time-varying systems. The Hamilton-Jacobi equation is introduced using the Principle of Optimality, and the infinite-time problem is considered. The second part outlines the
Optimal control of native predators
Martin, Julien; O'Connell, Allan F.; Kendall, William L.; Runge, Michael C.; Simons, Theodore R.; Waldstein, Arielle H.; Schulte, Shiloh A.; Converse, Sarah J.; Smith, Graham W.; Pinion, Timothy; Rikard, Michael; Zipkin, Elise F.
2010-01-01
We apply decision theory in a structured decision-making framework to evaluate how control of raccoons (Procyon lotor), a native predator, can promote the conservation of a declining population of American Oystercatchers (Haematopus palliatus) on the Outer Banks of North Carolina. Our management objective was to maintain Oystercatcher productivity above a level deemed necessary for population recovery while minimizing raccoon removal. We evaluated several scenarios including no raccoon removal, and applied an adaptive optimization algorithm to account for parameter uncertainty. We show how adaptive optimization can be used to account for uncertainties about how raccoon control may affect Oystercatcher productivity. Adaptive management can reduce this type of uncertainty and is particularly well suited for addressing controversial management issues such as native predator control. The case study also offers several insights that may be relevant to the optimal control of other native predators. First, we found that stage-specific removal policies (e.g., yearling versus adult raccoon removals) were most efficient if the reproductive values among stage classes were very different. Second, we found that the optimal control of raccoons would result in higher Oystercatcher productivity than the minimum levels recommended for this species. Third, we found that removing more raccoons initially minimized the total number of removals necessary to meet long term management objectives. Finally, if for logistical reasons managers cannot sustain a removal program by removing a minimum number of raccoons annually, managers may run the risk of creating an ecological trap for Oystercatchers.
Towards Stochastic Optimization-Based Electric Vehicle Penetration in a Novel Archipelago Microgrid.
Yang, Qingyu; An, Dou; Yu, Wei; Tan, Zhengan; Yang, Xinyu
2016-06-17
Due to the advantage of avoiding upstream disturbance and voltage fluctuation from a power transmission system, Islanded Micro-Grids (IMG) have attracted much attention. In this paper, we first propose a novel self-sufficient Cyber-Physical System (CPS) supported by Internet of Things (IoT) techniques, namely "archipelago micro-grid (MG)", which integrates the power grid and sensor networks to make the grid operation effective and is comprised of multiple MGs while disconnected with the utility grid. The Electric Vehicles (EVs) are used to replace a portion of Conventional Vehicles (CVs) to reduce CO 2 emission and operation cost. Nonetheless, the intermittent nature and uncertainty of Renewable Energy Sources (RESs) remain a challenging issue in managing energy resources in the system. To address these issues, we formalize the optimal EV penetration problem as a two-stage Stochastic Optimal Penetration (SOP) model, which aims to minimize the emission and operation cost in the system. Uncertainties coming from RESs (e.g., wind, solar, and load demand) are considered in the stochastic model and random parameters to represent those uncertainties are captured by the Monte Carlo-based method. To enable the reasonable deployment of EVs in each MGs, we develop two scheduling schemes, namely Unlimited Coordinated Scheme (UCS) and Limited Coordinated Scheme (LCS), respectively. An extensive simulation study based on a modified 9 bus system with three MGs has been carried out to show the effectiveness of our proposed schemes. The evaluation data indicates that our proposed strategy can reduce both the environmental pollution created by CO 2 emissions and operation costs in UCS and LCS.
Towards Stochastic Optimization-Based Electric Vehicle Penetration in a Novel Archipelago Microgrid
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Qingyu Yang
2016-06-01
Full Text Available Due to the advantage of avoiding upstream disturbance and voltage fluctuation from a power transmission system, Islanded Micro-Grids (IMG have attracted much attention. In this paper, we first propose a novel self-sufficient Cyber-Physical System (CPS supported by Internet of Things (IoT techniques, namely “archipelago micro-grid (MG”, which integrates the power grid and sensor networks to make the grid operation effective and is comprised of multiple MGs while disconnected with the utility grid. The Electric Vehicles (EVs are used to replace a portion of Conventional Vehicles (CVs to reduce CO 2 emission and operation cost. Nonetheless, the intermittent nature and uncertainty of Renewable Energy Sources (RESs remain a challenging issue in managing energy resources in the system. To address these issues, we formalize the optimal EV penetration problem as a two-stage Stochastic Optimal Penetration (SOP model, which aims to minimize the emission and operation cost in the system. Uncertainties coming from RESs (e.g., wind, solar, and load demand are considered in the stochastic model and random parameters to represent those uncertainties are captured by the Monte Carlo-based method. To enable the reasonable deployment of EVs in each MGs, we develop two scheduling schemes, namely Unlimited Coordinated Scheme (UCS and Limited Coordinated Scheme (LCS, respectively. An extensive simulation study based on a modified 9 bus system with three MGs has been carried out to show the effectiveness of our proposed schemes. The evaluation data indicates that our proposed strategy can reduce both the environmental pollution created by CO 2 emissions and operation costs in UCS and LCS.
Directory of Open Access Journals (Sweden)
Liudong Zhang
2014-01-01
Full Text Available An uncertain monthly reservoirs operation and multicrop deficit irrigation model was proposed under conjunctive use of underground and surface water for water resources optimization management. The objective is to maximize the total crop yield of the entire irrigation districts. Meanwhile, ecological water remained for the downstream demand. Because of the shortage of water resources, the monthly crop water production function was adopted for multiperiod deficit irrigation management. The model reflects the characteristics of water resources repetitive transformation in typical inland rivers irrigation system. The model was used as an example for water resources optimization management in Shiyang River Basin, China. Uncertainties in reservoir management shown as fuzzy probability were treated through chance-constraint parameter for decision makers. Necessity of dominance (ND was used to analyse the advantages of the method. The optimization results including reservoirs real-time operation policy, deficit irrigation management, and the available water resource allocation could be used to provide decision support for local irrigation management. Besides, the strategies obtained could help with the risk analysis of reservoirs operation stochastically.
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Qinghai Zhao
2015-01-01
Full Text Available A mathematical framework is developed which integrates the reliability concept into topology optimization to solve reliability-based topology optimization (RBTO problems under uncertainty. Two typical methodologies have been presented and implemented, including the performance measure approach (PMA and the sequential optimization and reliability assessment (SORA. To enhance the computational efficiency of reliability analysis, stochastic response surface method (SRSM is applied to approximate the true limit state function with respect to the normalized random variables, combined with the reasonable design of experiments generated by sparse grid design, which was proven to be an effective and special discretization technique. The uncertainties such as material property and external loads are considered on three numerical examples: a cantilever beam, a loaded knee structure, and a heat conduction problem. Monte-Carlo simulations are also performed to verify the accuracy of the failure probabilities computed by the proposed approach. Based on the results, it is demonstrated that application of SRSM with SGD can produce an efficient reliability analysis in RBTO which enables a more reliable design than that obtained by DTO. It is also found that, under identical accuracy, SORA is superior to PMA in view of computational efficiency.
Hemopoietic stem cells: stochastic differentiation and humoral control of proliferation.
Ogawa, M
1989-03-01
The central feature of hemopoiesis is life-long, stable cell renewal. This process is supported by hemopoietic stem cells which, in the steady state, appear to be dormant in cell cycling. The entry into cell cycle of the dormant stem cells may be promoted by such factors as interleukin-1, interleukin-6 (IL-6), and granulocyte colony-stimulating factor (G-CSF). Once the stem cells leave G0 and begin proliferation, the subsequent process is characterized by continued proliferation and differentiation. While several models of stem cell differentiation have been proposed, micromanipulation studies of individual progenitors suggest that the commitment of multipotential progenitors to single lineages is a random (stochastic) process. The proliferation of early hemopoietic progenitors requires the presence of interleukin-3 (IL-3), and the intermediate process appears to be supported by granulocyte/macrophage colony-stimulating factor (GM-CSF). Once the progenitors are committed to individual lineages, the subsequent maturation process appears to be supported by late-acting, lineage-specific factors such as erythropoietin and G-CSF. Synthesis of a hemopoietic factor may take place in different cell types and is regulated by multiple factors. The physiological regulator of erythropoiesis is erythropoietin, which, by a feedback mechanism, provides fine control of erythrocyte production. Feedback mechanisms for leukocyte production have not been identified. It is possible that there is no feedback regulator of leukopoiesis. In this model, leukocyte production in the steady state is maintained at a genetically determined level. When an infection occurs, the bacterial lipopolysaccharides may augment the production of interleukin 1 alpha and beta, tumor necrosis factor, macrophage colony-stimulating factor, etc.(ABSTRACT TRUNCATED AT 250 WORDS)
Optimal control with aerospace applications
Longuski, James M; Prussing, John E
2014-01-01
Want to know not just what makes rockets go up but how to do it optimally? Optimal control theory has become such an important field in aerospace engineering that no graduate student or practicing engineer can afford to be without a working knowledge of it. This is the first book that begins from scratch to teach the reader the basic principles of the calculus of variations, develop the necessary conditions step-by-step, and introduce the elementary computational techniques of optimal control. This book, with problems and an online solution manual, provides the graduate-level reader with enough introductory knowledge so that he or she can not only read the literature and study the next level textbook but can also apply the theory to find optimal solutions in practice. No more is needed than the usual background of an undergraduate engineering, science, or mathematics program: namely calculus, differential equations, and numerical integration. Although finding optimal solutions for these problems is a...
Optimization and optimal control in automotive systems
Kolmanovsky, Ilya; Steinbuch, Maarten; Re, Luigi
2014-01-01
This book demonstrates the use of the optimization techniques that are becoming essential to meet the increasing stringency and variety of requirements for automotive systems. It shows the reader how to move away from earlier approaches, based on some degree of heuristics, to the use of more and more common systematic methods. Even systematic methods can be developed and applied in a large number of forms so the text collects contributions from across the theory, methods and real-world automotive applications of optimization. Greater fuel economy, significant reductions in permissible emissions, new drivability requirements and the generally increasing complexity of automotive systems are among the criteria that the contributing authors set themselves to meet. In many cases multiple and often conflicting requirements give rise to multi-objective constrained optimization problems which are also considered. Some of these problems fall into the domain of the traditional multi-disciplinary optimization applie...
Stochastic Stability of Sampled Data Systems with a Jump Linear Controller
Gonzalez, Oscar R.; Herencia-Zapana, Heber; Gray, W. Steven
2004-01-01
In this paper an equivalence between the stochastic stability of a sampled-data system and its associated discrete-time representation is established. The sampled-data system consists of a deterministic, linear, time-invariant, continuous-time plant and a stochastic, linear, time-invariant, discrete-time, jump linear controller. The jump linear controller models computer systems and communication networks that are subject to stochastic upsets or disruptions. This sampled-data model has been used in the analysis and design of fault-tolerant systems and computer-control systems with random communication delays without taking into account the inter-sample response. This paper shows that the known equivalence between the stability of a deterministic sampled-data system and the associated discrete-time representation holds even in a stochastic framework.
Costard, Anne D.; Jean-Michel Claude Elsen
2011-01-01
Many of the models used to optimize selection processes in livestock make the assumption that the population is of infinite size and are built on deterministic equations. The finite size case should however be considered explicitly when selection involves one identified gene. Indeed, drift can cause the loss of a favorable allele if its initial frequency is low. In this paper, a stochastic approach was developed to simultaneously optimize selection on two traits in a limited size population: ...
Control and optimal control theories with applications
Burghes, D N
2004-01-01
This sound introduction to classical and modern control theory concentrates on fundamental concepts. Employing the minimum of mathematical elaboration, it investigates the many applications of control theory to varied and important present-day problems, e.g. economic growth, resource depletion, disease epidemics, exploited population, and rocket trajectories. An original feature is the amount of space devoted to the important and fascinating subject of optimal control. The work is divided into two parts. Part one deals with the control of linear time-continuous systems, using both transfer fun
Optimal control of hybrid vehicles
Jager, Bram; Kessels, John
2013-01-01
Optimal Control of Hybrid Vehicles provides a description of power train control for hybrid vehicles. The background, environmental motivation and control challenges associated with hybrid vehicles are introduced. The text includes mathematical models for all relevant components in the hybrid power train. The power split problem in hybrid power trains is formally described and several numerical solutions detailed, including dynamic programming and a novel solution for state-constrained optimal control problems based on Pontryagin’s maximum principle. Real-time-implementable strategies that can approximate the optimal solution closely are dealt with in depth. Several approaches are discussed and compared, including a state-of-the-art strategy which is adaptive for vehicle conditions like velocity and mass. Two case studies are included in the book: · a control strategy for a micro-hybrid power train; and · experimental results obtained with a real-time strategy implemented in...
Genetic optimization of fuzzy fractional PD+I controllers.
Jesus, Isabel S; Barbosa, Ramiro S
2015-07-01
Fractional order calculus is a powerful emerging mathematical tool in science and engineering. There is currently an increasing interest in generalizing classical control theories and developing novel control strategies. The genetic algorithms (GA) are a stochastic search and optimization methods based on the reproduction processes found in biological systems, used for solving engineering problems. In the context of process control, the fuzzy logic usually means variables that are described by imprecise terms, and represented by quantities that are qualitative and vague. In this article we consider the development of an optimal fuzzy fractional PD+I controller in which the parameters are tuned by a GA. The performance of the proposed fuzzy fractional control is illustrated through some application examples. Copyright © 2015 ISA. Published by Elsevier Ltd. All rights reserved.
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Mingzhu Song
2016-01-01
Full Text Available We address the problem of globally asymptotic stability for a class of stochastic nonlinear systems with time-varying delays. By the backstepping method and Lyapunov theory, we design a linear output feedback controller recursively based on the observable linearization for a class of stochastic nonlinear systems with time-varying delays to guarantee that the closed-loop system is globally asymptotically stable in probability. In particular, we extend the deterministic nonlinear system to stochastic nonlinear systems with time-varying delays. Finally, an example and its simulations are given to illustrate the theoretical results.
Temporal and stochastic control of Staphylococcus aureus biofilm development.
Moormeier, Derek E; Bose, Jeffrey L; Horswill, Alexander R; Bayles, Kenneth W
2014-10-14
Biofilm communities contain distinct microniches that result in metabolic heterogeneity and variability in gene expression. Previously, these niches were visualized within Staphylococcus aureus biofilms by observing differential expression of the cid and lrg operons during tower formation. In the present study, we examined early biofilm development and identified two new stages (designated "multiplication" and "exodus") that were associated with changes in matrix composition and a distinct reorganization of the cells as the biofilm matured. The initial attachment and multiplication stages were shown to be protease sensitive but independent of most cell surface-associated proteins. Interestingly, after 6 h of growth, an exodus of the biofilm population that followed the transition of the biofilm to DNase I sensitivity was demonstrated. Furthermore, disruption of the gene encoding staphylococcal nuclease (nuc) abrogated this exodus event, causing hyperproliferation of the biofilm and disrupting normal tower development. Immediately prior to the exodus event, S. aureus cells carrying a nuc::gfp promoter fusion demonstrated Sae-dependent expression but only in an apparently random subpopulation of cells. In contrast to the existing model for tower development in S. aureus, the results of this study suggest the presence of a Sae-controlled nuclease-mediated exodus of biofilm cells that is required for the development of tower structures. Furthermore, these studies indicate that the differential expression of nuc during biofilm development is subject to stochastic regulatory mechanisms that are independent of the formation of metabolic microniches. Importance: In this study, we provide a novel view of four early stages of biofilm formation by the human pathogen Staphylococcus aureus. We identified an initial nucleoprotein matrix during biofilm development that is DNase I insensitive until a critical point when a nuclease-mediated exodus of the population is induced prior
Zhang, Jianlei; Zhang, Chunyan; Chu, Tianguang; Perc, Matjaž
2011-01-01
We study the evolution of cooperation among selfish individuals in the stochastic strategy spatial prisoner's dilemma game. We equip players with the particle swarm optimization technique, and find that it may lead to highly cooperative states even if the temptations to defect are strong. The concept of particle swarm optimization was originally introduced within a simple model of social dynamics that can describe the formation of a swarm, i.e., analogous to a swarm of bees searching for a food source. Essentially, particle swarm optimization foresees changes in the velocity profile of each player, such that the best locations are targeted and eventually occupied. In our case, each player keeps track of the highest payoff attained within a local topological neighborhood and its individual highest payoff. Thus, players make use of their own memory that keeps score of the most profitable strategy in previous actions, as well as use of the knowledge gained by the swarm as a whole, to find the best available strategy for themselves and the society. Following extensive simulations of this setup, we find a significant increase in the level of cooperation for a wide range of parameters, and also a full resolution of the prisoner's dilemma. We also demonstrate extreme efficiency of the optimization algorithm when dealing with environments that strongly favor the proliferation of defection, which in turn suggests that swarming could be an important phenomenon by means of which cooperation can be sustained even under highly unfavorable conditions. We thus present an alternative way of understanding the evolution of cooperative behavior and its ubiquitous presence in nature, and we hope that this study will be inspirational for future efforts aimed in this direction.
Adaptiveness in monotone pseudo-Boolean optimization and stochastic neural computation.
Grossi, Giuliano
2009-08-01
Hopfield neural network (HNN) is a nonlinear computational model successfully applied in finding near-optimal solutions of several difficult combinatorial problems. In many cases, the network energy function is obtained through a learning procedure so that its minima are states falling into a proper subspace (feasible region) of the search space. However, because of the network nonlinearity, a number of undesirable local energy minima emerge from the learning procedure, significantly effecting the network performance. In the neural model analyzed here, we combine both a penalty and a stochastic process in order to enhance the performance of a binary HNN. The penalty strategy allows us to gradually lead the search towards states representing feasible solutions, so avoiding oscillatory behaviors or asymptotically instable convergence. Presence of stochastic dynamics potentially prevents the network to fall into shallow local minima of the energy function, i.e., quite far from global optimum. Hence, for a given fixed network topology, the desired final distribution on the states can be reached by carefully modulating such process. The model uses pseudo-Boolean functions both to express problem constraints and cost function; a combination of these two functions is then interpreted as energy of the neural network. A wide variety of NP-hard problems fall in the class of problems that can be solved by the model at hand, particularly those having a monotonic quadratic pseudo-Boolean function as constraint function. That is, functions easily derived by closed algebraic expressions representing the constraint structure and easy (polynomial time) to maximize. We show the asymptotic convergence properties of this model characterizing its state space distribution at thermal equilibrium in terms of Markov chain and give evidence of its ability to find high quality solutions on benchmarks and randomly generated instances of two specific problems taken from the computational graph
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Babak Salamat
2017-05-01
Full Text Available The aim of this paper is to provide a realistic stochastic trajectory generation method for unmanned aerial vehicles that offers a tool for the emulation of trajectories in typical flight scenarios. Three scenarios are defined in this paper. The trajectories for these scenarios are implemented with quintic B-splines that grant smoothness in the second-order derivatives of Euler angles and accelerations. In order to tune the parameters of the quintic B-spline in the search space, a multi-objective optimization method called particle swarm optimization (PSO is used. The proposed technique satisfies the constraints imposed by the configuration of the unmanned aerial vehicle (UAV. Further particular constraints can be introduced such as: obstacle avoidance, speed limitation, and actuator torque limitations due to the practical feasibility of the trajectories. Finally, the standard rapidly-exploring random tree (RRT* algorithm, the standard (A* algorithm and the genetic algorithm (GA are simulated to make a comparison with the proposed algorithm in terms of execution time and effectiveness in finding the minimum length trajectory.
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Lin Wang
2013-01-01
Full Text Available As a practical inventory and transportation problem, it is important to synthesize several objectives for the joint replenishment and delivery (JRD decision. In this paper, a new multiobjective stochastic JRD (MSJRD of the one-warehouse and n-retailer systems considering the balance of service level and total cost simultaneously is proposed. The goal of this problem is to decide the reasonable replenishment interval, safety stock factor, and traveling routing. Secondly, two approaches are designed to handle this complex multi-objective optimization problem. Linear programming (LP approach converts the multi-objective to single objective, while a multi-objective evolution algorithm (MOEA solves a multi-objective problem directly. Thirdly, three intelligent optimization algorithms, differential evolution algorithm (DE, hybrid DE (HDE, and genetic algorithm (GA, are utilized in LP-based and MOEA-based approaches. Results of the MSJRD with LP-based and MOEA-based approaches are compared by a contrastive numerical example. To analyses the nondominated solution of MOEA, a metric is also used to measure the distribution of the last generation solution. Results show that HDE outperforms DE and GA whenever LP or MOEA is adopted.
A three-stage stochastic optimization model for the Brazilian biodiesel supply chain
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Pedro Senna
2016-01-01
Full Text Available Abstract The Brazilian program for biodiesel use highlights the production of biodiesel from castor seeds. Biodiesel is a non-polluting energy source that has the potential to promote prosperity by creating jobs in poor regions of Brazil. However, the infrastructure, logistics, and proper facilities are lacking. A variety of approaches to optimizing the biodiesel supply chain have been proposed. The goal is to minimize the grain storage and transportation costs. This paper presents a comparison between a two-stage model and a multistage (three-stage stochastic model to optimize the biodiesel supply chain. The comparison between these formulations shows that the flexibility gain provided by the multistage model results in a lower total logistic cost. The optimum for the three-stage model was 7,700,019 (BRL, compared to 8,628,002 (BRL for the two-stage model, representing a savings of 927,983 (BRL. We highlight that this model offers a real solution for castor supply chain design (considering uncertainty in the Brazilian semiarid region, which is a poorer region of the country, thus making cost reduction mandatory.
Wang, Lin; Qu, Hui; Liu, Shan; Dun, Cai-xia
2013-01-01
As a practical inventory and transportation problem, it is important to synthesize several objectives for the joint replenishment and delivery (JRD) decision. In this paper, a new multiobjective stochastic JRD (MSJRD) of the one-warehouse and n-retailer systems considering the balance of service level and total cost simultaneously is proposed. The goal of this problem is to decide the reasonable replenishment interval, safety stock factor, and traveling routing. Secondly, two approaches are designed to handle this complex multi-objective optimization problem. Linear programming (LP) approach converts the multi-objective to single objective, while a multi-objective evolution algorithm (MOEA) solves a multi-objective problem directly. Thirdly, three intelligent optimization algorithms, differential evolution algorithm (DE), hybrid DE (HDE), and genetic algorithm (GA), are utilized in LP-based and MOEA-based approaches. Results of the MSJRD with LP-based and MOEA-based approaches are compared by a contrastive numerical example. To analyses the nondominated solution of MOEA, a metric is also used to measure the distribution of the last generation solution. Results show that HDE outperforms DE and GA whenever LP or MOEA is adopted.
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Muhammad Imran
2014-01-01
Full Text Available One of the major challenges for the CBIR is to bridge the gap between low level features and high level semantics according to the need of the user. To overcome this gap, relevance feedback (RF coupled with support vector machine (SVM has been applied successfully. However, when the feedback sample is small, the performance of the SVM based RF is often poor. To improve the performance of RF, this paper has proposed a new technique, namely, PSO-SVM-RF, which combines SVM based RF with particle swarm optimization (PSO. The aims of this proposed technique are to enhance the performance of SVM based RF and also to minimize the user interaction with the system by minimizing the RF number. The PSO-SVM-RF was tested on the coral photo gallery containing 10908 images. The results obtained from the experiments showed that the proposed PSO-SVM-RF achieved 100% accuracy in 8 feedback iterations for top 10 retrievals and 80% accuracy in 6 iterations for 100 top retrievals. This implies that with PSO-SVM-RF technique high accuracy rate is achieved at a small number of iterations.
Parasuraman, Ramviyas; Fabry, Thomas; Molinari, Luca; Kershaw, Keith; Di Castro, Mario; Masi, Alessandro; Ferre, Manuel
2014-01-01
The reliability of wireless communication in a network of mobile wireless robot nodes depends on the received radio signal strength (RSS). When the robot nodes are deployed in hostile environments with ionizing radiations (such as in some scientific facilities), there is a possibility that some electronic components may fail randomly (due to radiation effects), which causes problems in wireless connectivity. The objective of this paper is to maximize robot mission capabilities by maximizing the wireless network capacity and to reduce the risk of communication failure. Thus, in this paper, we consider a multi-node wireless tethering structure called the “server-relay-client” framework that uses (multiple) relay nodes in between a server and a client node. We propose a robust stochastic optimization (RSO) algorithm using a multi-sensor-based RSS sampling method at the relay nodes to efficiently improve and balance the RSS between the source and client nodes to improve the network capacity and to provide redundant networking abilities. We use pre-processing techniques, such as exponential moving averaging and spatial averaging filters on the RSS data for smoothing. We apply a receiver spatial diversity concept and employ a position controller on the relay node using a stochastic gradient ascent method for self-positioning the relay node to achieve the RSS balancing task. The effectiveness of the proposed solution is validated by extensive simulations and field experiments in CERN facilities. For the field trials, we used a youBot mobile robot platform as the relay node, and two stand-alone Raspberry Pi computers as the client and server nodes. The algorithm has been proven to be robust to noise in the radio signals and to work effectively even under non-line-of-sight conditions. PMID:25615734
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Ramviyas Parasuraman
2014-12-01
Full Text Available The reliability of wireless communication in a network of mobile wireless robot nodes depends on the received radio signal strength (RSS. When the robot nodes are deployed in hostile environments with ionizing radiations (such as in some scientific facilities, there is a possibility that some electronic components may fail randomly (due to radiation effects, which causes problems in wireless connectivity. The objective of this paper is to maximize robot mission capabilities by maximizing the wireless network capacity and to reduce the risk of communication failure. Thus, in this paper, we consider a multi-node wireless tethering structure called the “server-relay-client” framework that uses (multiple relay nodes in between a server and a client node. We propose a robust stochastic optimization (RSO algorithm using a multi-sensor-based RSS sampling method at the relay nodes to efficiently improve and balance the RSS between the source and client nodes to improve the network capacity and to provide redundant networking abilities. We use pre-processing techniques, such as exponential moving averaging and spatial averaging filters on the RSS data for smoothing. We apply a receiver spatial diversity concept and employ a position controller on the relay node using a stochastic gradient ascent method for self-positioning the relay node to achieve the RSS balancing task. The effectiveness of the proposed solution is validated by extensive simulations and field experiments in CERN facilities. For the field trials, we used a youBot mobile robot platform as the relay node, and two stand-alone Raspberry Pi computers as the client and server nodes. The algorithm has been proven to be robust to noise in the radio signals and to work effectively even under non-line-of-sight conditions.
Parasuraman, Ramviyas; Fabry, Thomas; Molinari, Luca; Kershaw, Keith; Di Castro, Mario; Masi, Alessandro; Ferre, Manuel
2014-12-12
The reliability of wireless communication in a network of mobile wireless robot nodes depends on the received radio signal strength (RSS). When the robot nodes are deployed in hostile environments with ionizing radiations (such as in some scientific facilities), there is a possibility that some electronic components may fail randomly (due to radiation effects), which causes problems in wireless connectivity. The objective of this paper is to maximize robot mission capabilities by maximizing the wireless network capacity and to reduce the risk of communication failure. Thus, in this paper, we consider a multi-node wireless tethering structure called the "server-relay-client" framework that uses (multiple) relay nodes in between a server and a client node. We propose a robust stochastic optimization (RSO) algorithm using a multi-sensor-based RSS sampling method at the relay nodes to efficiently improve and balance the RSS between the source and client nodes to improve the network capacity and to provide redundant networking abilities. We use pre-processing techniques, such as exponential moving averaging and spatial averaging filters on the RSS data for smoothing. We apply a receiver spatial diversity concept and employ a position controller on the relay node using a stochastic gradient ascent method for self-positioning the relay node to achieve the RSS balancing task. The effectiveness of the proposed solution is validated by extensive simulations and field experiments in CERN facilities. For the field trials, we used a youBot mobile robot platform as the relay node, and two stand-alone Raspberry Pi computers as the client and server nodes. The algorithm has been proven to be robust to noise in the radio signals and to work effectively even under non-line-of-sight conditions.
Zhang, Xiaojia Shelly; de Sturler, Eric; Paulino, Glaucio H.
2017-10-01
We propose an efficient probabilistic method to solve a deterministic problem -- we present a randomized optimization approach that drastically reduces the enormous computational cost of optimizing designs under many load cases for both continuum and truss topology optimization. Practical structural designs by topology optimization typically involve many load cases, possibly hundreds or more. The optimal design minimizes a, possibly weighted, average of the compliance under each load case (or some other objective). This means that in each optimization step a large finite element problem must be solved for each load case, leading to an enormous computational effort. On the contrary, the proposed randomized optimization method with stochastic sampling requires the solution of only a few (e.g., 5 or 6) finite element problems (large linear systems) per optimization step. Based on simulated annealing, we introduce a damping scheme for the randomized approach. Through numerical examples in two and three dimensions, we demonstrate that the stochastic algorithm drastically reduces computational cost to obtain similar final topologies and results (e.g., compliance) compared with the standard algorithms. The results indicate that the damping scheme is effective and leads to rapid convergence of the proposed algorithm.
Susceptibility of optimal train schedules to stochastic disturbances of process times
DEFF Research Database (Denmark)
Larsen, Rune; Pranzo, Marco; D’Ariano, Andrea
2013-01-01
study, an advanced branch and bound algorithm, on average, outperforms a First In First Out scheduling rule both in deterministic and stochastic traffic scenarios. However, the characteristic of the stochastic processes and the way a stochastic instance is handled turn out to have a serious impact......This work focuses on the stochastic evaluation of train schedules computed by a microscopic scheduler of railway operations based on deterministic information. The research question is to assess the degree of sensitivity of various rescheduling algorithms to variations in process times (running...... on the scheduler performance. © 2013 Springer Science+Business Media New York....
Sandell, N. R., Jr.; Athans, M.
1975-01-01
The development of the theory of the finite - state, finite - memory (FSFM) stochastic control problem is discussed. The sufficiency of the FSFM minimum principle (which is in general only a necessary condition) was investigated. By introducing the notion of a signaling strategy as defined in the literature on games, conditions under which the FSFM minimum principle is sufficient were determined. This result explicitly interconnects the information structure of the FSFM problem with its optimality conditions. The min-H algorithm for the FSFM problem was studied. It is demonstrated that a version of the algorithm always converges to a particular type of local minimum termed a person - by - person extremal.
Gekeler, Simon
2016-01-01
The book provides suggestions on how to start using bionic optimization methods, including pseudo-code examples of each of the important approaches and outlines of how to improve them. The most efficient methods for accelerating the studies are discussed. These include the selection of size and generations of a study’s parameters, modification of these driving parameters, switching to gradient methods when approaching local maxima, and the use of parallel working hardware. Bionic Optimization means finding the best solution to a problem using methods found in nature. As Evolutionary Strategies and Particle Swarm Optimization seem to be the most important methods for structural optimization, we primarily focus on them. Other methods such as neural nets or ant colonies are more suited to control or process studies, so their basic ideas are outlined in order to motivate readers to start using them. A set of sample applications shows how Bionic Optimization works in practice. From academic studies on simple fra...
Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach
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Konstantinos Kiriakopoulos
2014-10-01
Full Text Available In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The numerical approximation scheme is presented and applied using a single factor interest rate model. It is shown how the whole methodology works in practice, with the implementation of the algorithm for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios especially in the interest rate market is crucial for the stability of the financial system. Modern Value at Risk (VAR and Conditional Value at Risk (CVAR techniques, although very useful and easy to understand, fail to grasp the need for on-line controlling and monitoring of derivatives portfolio. The portfolios should be designed in a way that risk and return be quantified and controlled in every possible state of the world. We hope that this methodology contributes towards this direction.
Optimal control of effective Hamiltonians
Energy Technology Data Exchange (ETDEWEB)
Verdeny Vilalta, Albert; Mintert, Florian [Freiburg Institute for Advanced Studies, Albert-Ludwigs University of Freiburg, Freiburg 79104 (Germany); Mueller, Cord A. [Centre for Quantum Technologies, National University of Singapore, Singapore 117543 (Singapore)
2013-07-01
Periodically driven Hamiltonians can be approximately described by a time-independent effective Hamiltonian if the driving is sufficiently fast. There exist, however, many different drivings that result in the same effective Hamiltonian. Using optimal control techniques, we investigate which driving yields the best approximation to the dynamics induced by a desired effective Hamiltonian. The viability of our approach is proven for the simplest example of a driven three-level Lambda system, and shall ultimately help to improve the precision of quantum simulations.
Optimal switching using coherent control
DEFF Research Database (Denmark)
Kristensen, Philip Trøst; Heuck, Mikkel; Mørk, Jesper
2013-01-01
We introduce a general framework for the analysis of coherent control in coupled optical cavity-waveguide systems. Within this framework, we use an analytically solvable model, which is validated by independent numerical calculations, to investigate switching in a micro cavity and demonstrate...... that the switching time, in general, is not limited by the cavity lifetime. Therefore, the total energy required for switching is a more relevant figure of merit than the switching speed, and for a particular two-pulse switching scheme we use calculus of variations to optimize the switching in terms of input energy....
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Holmberg, J. [VTT Automation, Espoo (Finland)
1997-04-01
The thesis models risk management as an optimal control problem for a stochastic process. The approach classes the decisions made by management into three categories according to the control methods of a point process: (1) planned process lifetime, (2) modification of the design, and (3) operational decisions. The approach is used for optimization of plant shutdown criteria and surveillance test strategies of a hypothetical nuclear power plant. 62 refs. The thesis includes also five previous publications by author.
Zhu, T.; Liu, Y.
2012-12-01
Agriculture is vulnerable to droughts and the adverse impacts can be widespread and long-lasting. Incorporating drought risk considerations into local irrigation infrastructure capacity planning and farm level management decisions can reduce economic losses during drought events and improve farm income stability. This study uses a multi-stage stochastic programming approach to optimize irrigation capacity and operations as well as on-farm decisions in a semi-arid study site located at the western section of the Indo-Gangetic Plain. The model includes irrigation water supply capacity (canal and wells) and irrigation technology choice decisions in the first stage, seasonal crop planting decisions in the second stage based on probabilistic seasonal climate forecasts, and crop abandonment or replanting decisions in the third stage when monsoon rainfall amount is known. Using a modified climatology we examine the responses of cropping pattern and farm income to increased drought frequency and magnitude. We further explore the effects of alternative water and energy prices on groundwater pumping to examine potentially promising policies that can reduce groundwater overdraft which has become an increasingly serious issue in the region and jeopardizes its capacity to cope with droughts.
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Jing Cai
2016-01-01
Full Text Available Considering the wide application of condition-based maintenance in aeroengine maintenance practice, it becomes possible for aeroengines to carry out their preventive maintenance in just-in-time (JIT manner by reasonably planning their shop visits (SVs. In this study, an approach is proposed to make aeroengine SV decisions following the concept of JIT. Firstly, a state space model (SSM for aeroengine based on exhaust gas temperature margin is developed to predict the remaining useful life (RUL of aeroengine. Secondly, the effect of SV decisions on risk and service level (SL is analyzed, and an optimization of the aeroengine SV decisions based on RUL and stochastic repair time is performed to carry out JIT manner with the requirement of safety and SL. Finally, a case study considering two CFM-56 aeroengines is presented to demonstrate the proposed approach. The results show that predictive accuracy of RUL with SSM is higher than with linear regression, and the process of SV decisions is simple and feasible for airlines to improve the inventory management level of their aeroengines.
Stochastic dynamics of resistive switching: fluctuations lead to optimal particle number
Radtke, Paul K.; Hazel, Andrew L.; Straube, Arthur V.; Schimansky-Geier, Lutz
2017-09-01
Resistive switching (RS) is one of the foremost candidates for building novel types of non-volatile random access memories. Any practical implementation of such a memory cell calls for a strong miniaturization, at which point fluctuations start playing a role that cannot be neglected. A detailed understanding of switching mechanisms and reliability is essential. For this reason, we formulate a particle model based on the stochastic motion of oxygen vacancies. It allows us to investigate fluctuations in the resistance states of a switch with two active zones. The vacancies’ dynamics are governed by a master equation. Upon the application of a voltage pulse, the vacancies travel collectively through the switch. By deriving a generalized Burgers equation we can interpret this collective motion as nonlinear traveling waves, and numerically verify this result. Further, we define binary logical states by means of the underlying vacancy distributions, and establish a framework of writing and reading such memory element with voltage pulses. Considerations about the discriminability of these operations under fluctuations together with the markedness of the RS effect itself lead to the conclusion, that an intermediate vacancy number is optimal for performance.
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Charles I Nkeki
2014-11-01
Full Text Available This paper aim at studying a mean-variance portfolio selection problem with stochastic salary, proportional administrative costs and taxation in the accumulation phase of a defined contribution (DC pension scheme. The fund process is subjected to taxation while the contribution of the pension plan member (PPM is tax exempt. It is assumed that the flow of contributions of a PPM are invested into a market that is characterized by a cash account and a stock. The optimal portfolio processes and expected wealth for the PPM are established. The efficient and parabolic frontiers of a PPM portfolios in mean-variance are obtained. It was found that capital market line can be attained when initial fund and the contribution rate are zero. It was also found that the optimal portfolio process involved an inter-temporal hedging term that will offset any shocks to the stochastic salary of the PPM.
Eichhorn, Ralf; Aurell, Erik
2014-04-01
theory for small deviations from equilibrium, in which a general framework is constructed from the analysis of non-equilibrium states close to equilibrium. In a next step, Prigogine and others developed linear irreversible thermodynamics, which establishes relations between transport coefficients and entropy production on a phenomenological level in terms of thermodynamic forces and fluxes. However, beyond the realm of linear response no general theoretical results were available for quite a long time. This situation has changed drastically over the last 20 years with the development of stochastic thermodynamics, revealing that the range of validity of thermodynamic statements can indeed be extended deep into the non-equilibrium regime. Early developments in that direction trace back to the observations of symmetry relations between the probabilities for entropy production and entropy annihilation in non-equilibrium steady states [5-8] (nowadays categorized in the class of so-called detailed fluctuation theorems), and the derivations of the Bochkov-Kuzovlev [9, 10] and Jarzynski relations [11] (which are now classified as so-called integral fluctuation theorems). Apart from its fundamental theoretical interest, the developments in stochastic thermodynamics have experienced an additional boost from the recent experimental progress in fabricating, manipulating, controlling and observing systems on the micro- and nano-scale. These advances are not only of formidable use for probing and monitoring biological processes on the cellular, sub-cellular and molecular level, but even include the realization of a microscopic thermodynamic heat engine [12] or the experimental verification of Landauer's principle in a colloidal system [13]. The scientific program Stochastic Thermodynamics held between 4 and 15 March 2013, and hosted by The Nordic Institute for Theoretical Physics (Nordita), was attended by more than 50 scientists from the Nordic countries and elsewhere, amongst them
Elfering, Achim; Thomann, Jan; Schade, Volker; Radlinger, Lorenz
2011-12-18
To examined the effects of stochastic resonance whole-body vibration training on musculoskeletal pain in young healthy individuals. Participants were 43 undergraduate students of a Swiss University. The study was designed as a randomized controlled trial (RCT) with randomized group allocation. The RCT consisted of two groups each given 12 training sessions during four weeks with either 5 Hz- Training frequency (training condition) or 1.5 Hz Training frequency (control condition). Outcome was current musculoskeletal pain assessed in the evening on each day during the four week training period. Multilevel regression analysis showed musculoskeletal pain was significantly decreased in the training condition whereas there was no change in the control condition (B = -0.023, SE = 0.010, P = 0.021). Decrease in current musculoskeletal pain over four weeks was linear. Stochastic resonance whole-body vibration reduced musculoskeletal pain in young healthy individuals. Stochastic resonance vibration and not any other exercise component within training caused pain reduction.
Macian-Sorribes, Hector; Pulido-Velazquez, Manuel; Tilmant, Amaury
2015-04-01
Stochastic programming methods are better suited to deal with the inherent uncertainty of inflow time series in water resource management. However, one of the most important hurdles in their use in practical implementations is the lack of generalized Decision Support System (DSS) shells, usually based on a deterministic approach. The purpose of this contribution is to present a general-purpose DSS shell, named Explicit Stochastic Programming Advanced Tool (ESPAT), able to build and solve stochastic programming problems for most water resource systems. It implements a hydro-economic approach, optimizing the total system benefits as the sum of the benefits obtained by each user. It has been coded using GAMS, and implements a Microsoft Excel interface with a GAMS-Excel link that allows the user to introduce the required data and recover the results. Therefore, no GAMS skills are required to run the program. The tool is divided into four modules according to its capabilities: 1) the ESPATR module, which performs stochastic optimization procedures in surface water systems using a Stochastic Dual Dynamic Programming (SDDP) approach; 2) the ESPAT_RA module, which optimizes coupled surface-groundwater systems using a modified SDDP approach; 3) the ESPAT_SDP module, capable of performing stochastic optimization procedures in small-size surface systems using a standard SDP approach; and 4) the ESPAT_DET module, which implements a deterministic programming procedure using non-linear programming, able to solve deterministic optimization problems in complex surface-groundwater river basins. The case study of the Mijares river basin (Spain) is used to illustrate the method. It consists in two reservoirs in series, one aquifer and four agricultural demand sites currently managed using historical (XIV century) rights, which give priority to the most traditional irrigation district over the XX century agricultural developments. Its size makes it possible to use either the SDP or
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Anne D. Costard
2011-07-01
Full Text Available Many of the models used to optimize selection processes in livestock make the assumption that the population is of infinite size and are built on deterministic equations. The finite size case should however be considered explicitly when selection involves one identified gene. Indeed, drift can cause the loss of a favorable allele if its initial frequency is low. In this paper, a stochastic approach was developed to simultaneously optimize selection on two traits in a limited size population: a quantitative trait with underlying polygenic variation and a monogenic trait. We outline the interests of considering the limited size of the population in stochastic modeling with a simple example. Such stochastic models raise some technical problems (uncertain convergence to the maximum, computational burden which could obliterate their usefulness as compared to simpler but approximate deterministic models which can be used when the population size is large. By way of this simple example, we show the feasibility of the optimization of this type of model using a genetic algorithm and demonstrate its interest compared with the corresponding deterministic model which assumes that the population is of infinite size.
Costard, Anne D; Elsen, Jean-Michel
2011-01-01
Many of the models used to optimize selection processes in livestock make the assumption that the population is of infinite size and are built on deterministic equations. The finite size case should however be considered explicitly when selection involves one identified gene. Indeed, drift can cause the loss of a favorable allele if its initial frequency is low. In this paper, a stochastic approach was developed to simultaneously optimize selection on two traits in a limited size population: a quantitative trait with underlying polygenic variation and a monogenic trait. We outline the interests of considering the limited size of the population in stochastic modeling with a simple example. Such stochastic models raise some technical problems (uncertain convergence to the maximum, computational burden) which could obliterate their usefulness as compared to simpler but approximate deterministic models which can be used when the population size is large. By way of this simple example, we show the feasibility of the optimization of this type of model using a genetic algorithm and demonstrate its interest compared with the corresponding deterministic model which assumes that the population is of infinite size.
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Meili Li
2015-01-01
Full Text Available The approximate controllability of semilinear neutral stochastic integrodifferential inclusions with infinite delay in an abstract space is studied. Sufficient conditions are established for the approximate controllability. The results are obtained by using the theory of analytic resolvent operator, the fractional power theory, and the theorem of nonlinear alternative for Kakutani maps. Finally, an example is provided to illustrate the theory.
Optimal harvesting of a stochastic delay tri-trophic food-chain model with Lévy jumps
Qiu, Hong; Deng, Wenmin
2018-02-01
In this paper, the optimal harvesting of a stochastic delay tri-trophic food-chain model with Lévy jumps is considered. We introduce two kinds of environmental perturbations in this model. One is called white noise which is continuous and is described by a stochastic integral with respect to the standard Brownian motion. And the other one is jumping noise which is modeled by a Lévy process. Under some mild assumptions, the critical values between extinction and persistent in the mean of each species are established. The sufficient and necessary criteria for the existence of optimal harvesting policy are established and the optimal harvesting effort and the maximum of sustainable yield are also obtained. We utilize the ergodic method to discuss the optimal harvesting problem. The results show that white noises and Lévy noises significantly affect the optimal harvesting policy while time delays is harmless for the optimal harvesting strategy in some cases. At last, some numerical examples are introduced to show the validity of our results.
Stratis, P. N.; Dokou, Z. A.; Karatzas, G. P.; Papadopoulou, E. P.; Saridakis, Y. G.
2017-09-01
Recently, the well-known Princeton Transport Code (PTC), a groundwater flow and contaminant transport simulator, has been coupled with the ALgorithm of Pattern EXtraction (ALOPEX), a real-time stochastic optimization method, to provide a freshwater pumping management tool for coastal aquifers, aiming in preventing saltwater intrusion. In our previous work (Proceedings of INASE/CSCC-WHH 2015, Recent Advances in Environmental and Earth Sciences and Economics, pp 329-334, 2015), the PTC-ALOPEX approach was used in studying the saltwater contamination problem for the coastal aquifer at Hersonissos, Crete. Extending these results, in the present study the PTC-ALOPEX approach is equipped with a nodal safety strategy that effectively controls saltwater front's advancement inside the aquifer. In cooperation with an appropriate penalty system, the performance of PTC-ALOPEX algorithm is studied considering several pumping and weather condition scenarios. This study also establishes pumping/well scenarios that ensure the needed volume of fresh water to the local community without risking saltwater contamination.
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Ernest Benedito
2011-10-01
Full Text Available Purpose: This paper is concerned with a reverse logistic system where returns are stochastically dependents on sales. The aim of the paper is to assess the influence on optimal production capacities when is assumed that returns are stochastically independent of sales.Design/methodology/approach: This paper presents a model of the system. An approximated model where is assumed that returns are stochastically independent of sales, is formulated to obtain the optimal capacities. The optimal costs of the original and the approximated models are compared in order to assess the influence of the assumption made on returns.Findings: The assumption that returns are stochastically independent of sales is significant in few cases. Research limitations/implications: The impact of the assumption on returns is assessed indirectly, by comparing the optimal costs of both models: the original and approximated.Practical implications: The problem of calculating the optimal capacities in the original model is hard to solve, however in the approximated model the problem is tractable. When the impact of the assumption that returns are stochastically independent of sales is not significant, the approximated model can be used to calculate the optimal capacities of the original model.Originality/value: Prior to this paper, few papers have addressed with the problem of calculating the optimal capacities of reverse logistics systems. The models found in these papers assumed that returns are stochastically independent of sales.
Simulation-optimization framework for multi-site multi-season hybrid stochastic streamflow modeling
Srivastav, Roshan; Srinivasan, K.; Sudheer, K. P.
2016-11-01
A simulation-optimization (S-O) framework is developed for the hybrid stochastic modeling of multi-site multi-season streamflows. The multi-objective optimization model formulated is the driver and the multi-site, multi-season hybrid matched block bootstrap model (MHMABB) is the simulation engine within this framework. The multi-site multi-season simulation model is the extension of the existing single-site multi-season simulation model. A robust and efficient evolutionary search based technique, namely, non-dominated sorting based genetic algorithm (NSGA - II) is employed as the solution technique for the multi-objective optimization within the S-O framework. The objective functions employed are related to the preservation of the multi-site critical deficit run sum and the constraints introduced are concerned with the hybrid model parameter space, and the preservation of certain statistics (such as inter-annual dependence and/or skewness of aggregated annual flows). The efficacy of the proposed S-O framework is brought out through a case example from the Colorado River basin. The proposed multi-site multi-season model AMHMABB (whose parameters are obtained from the proposed S-O framework) preserves the temporal as well as the spatial statistics of the historical flows. Also, the other multi-site deficit run characteristics namely, the number of runs, the maximum run length, the mean run sum and the mean run length are well preserved by the AMHMABB model. Overall, the proposed AMHMABB model is able to show better streamflow modeling performance when compared with the simulation based SMHMABB model, plausibly due to the significant role played by: (i) the objective functions related to the preservation of multi-site critical deficit run sum; (ii) the huge hybrid model parameter space available for the evolutionary search and (iii) the constraint on the preservation of the inter-annual dependence. Split-sample validation results indicate that the AMHMABB model is
A stochastic method for optimal location of groundwater monitoring sites at aquifer scale
Barca, E.; Passarella, G.
2009-04-01
With the growth of public environmental awareness and the improvement in national and EU legislation regarding the environment, monitoring assumed great importance in the frame of all managerial activities related to territories. In particular, recently, a number of public environmental agencies have invested great resources in planning and operating improvements on existing monitoring networks within their regions. In this framework, and, at the light of the Water Framework Directive, the optimal monitoring of the qualitative and quantitative state of groundwater becomes a priority, particularly, when severe economic constraints must be imposed and the territory to be monitored is quite wide. There are a lot of reasons justifying the optimal extension of a monitoring network. In fact, a modest coverage of the monitored area often makes impossible to provide the manager with a sufficient knowledge for decision-making processes. In general, monitoring networks are characterized by a scarce number of existing wells, irregularly spread over the considered area. This is a typical case of optimization and it may be solved seeking among existing, but unused, wells, all and only those able to make the monitoring network coverage, the most uniform among any arrangement. Using existing wells as new monitoring sites, allows one to drastically reduce the needed budget. In this paper, a four step method, based on simulated annealing, has been implemented with the aim of identifying scarcely monitored zones within the groundwater system boundaries. The steps are the following: I. Define aquifer boundaries, number and location of the existing monitoring sites and number and location of candidate new monitoring sites. Any constraint about the network size, and wells' location and characteristics need also to be identified at this step; II. Carry out stochastic simulations producing a large number of possible realizations of the improved monitoring network and choose the transient
Adaptive, predictive controller for optimal process control
Energy Technology Data Exchange (ETDEWEB)
Brown, S.K.; Baum, C.C.; Bowling, P.S.; Buescher, K.L.; Hanagandi, V.M.; Hinde, R.F. Jr.; Jones, R.D.; Parkinson, W.J.
1995-12-01
One can derive a model for use in a Model Predictive Controller (MPC) from first principles or from experimental data. Until recently, both methods failed for all but the simplest processes. First principles are almost always incomplete and fitting to experimental data fails for dimensions greater than one as well as for non-linear cases. Several authors have suggested the use of a neural network to fit the experimental data to a multi-dimensional and/or non-linear model. Most networks, however, use simple sigmoid functions and backpropagation for fitting. Training of these networks generally requires large amounts of data and, consequently, very long training times. In 1993 we reported on the tuning and optimization of a negative ion source using a special neural network[2]. One of the properties of this network (CNLSnet), a modified radial basis function network, is that it is able to fit data with few basis functions. Another is that its training is linear resulting in guaranteed convergence and rapid training. We found the training to be rapid enough to support real-time control. This work has been extended to incorporate this network into an MPC using the model built by the network for predictive control. This controller has shown some remarkable capabilities in such non-linear applications as continuous stirred exothermic tank reactors and high-purity fractional distillation columns[3]. The controller is able not only to build an appropriate model from operating data but also to thin the network continuously so that the model adapts to changing plant conditions. The controller is discussed as well as its possible use in various of the difficult control problems that face this community.
Optimal control of ODEs and DAEs
Gerdts, Matthias
2011-01-01
The intention of this textbook is to provide both, the theoretical and computational tools that are necessary to investigate and to solve optimal control problems with ordinary differential equations and differential-algebraic equations. An emphasis is placed on the interplay between the continuous optimal control problem, which typically is defined and analyzed in a Banach space setting, and discrete optimal control problems, which are obtained by discretization and lead to finite dimensional optimization problems.
Learning-based stochastic object models for use in optimizing imaging systems
Dolly, Steven R.; Anastasio, Mark A.; Yu, Lifeng; Li, Hua
2017-03-01
It is widely known that the optimization of imaging systems based on objective, or task-based, measures of image quality via computer-simulation requires use of a stochastic object model (SOM). However, the development of computationally tractable SOMs that can accurately model the statistical variations in anatomy within a specified ensemble of patients remains a challenging task. Because they are established by use of image data corresponding a single patient, previously reported numerical anatomical models lack of the ability to accurately model inter- patient variations in anatomy. In certain applications, however, databases of high-quality volumetric images are available that can facilitate this task. In this work, a novel and tractable methodology for learning a SOM from a set of volumetric training images is developed. The proposed method is based upon geometric attribute distribution (GAD) models, which characterize the inter-structural centroid variations and the intra-structural shape variations of each individual anatomical structure. The GAD models are scalable and deformable, and constrained by their respective principal attribute variations learned from training data. By use of the GAD models, random organ shapes and positions can be generated and integrated to form an anatomical phantom. The randomness in organ shape and position will reflect the variability of anatomy present in the training data. To demonstrate the methodology, a SOM corresponding to the pelvis of an adult male was computed and a corresponding ensemble of phantoms was created. Additionally, computer-simulated X-ray projection images corresponding to the phantoms were computed, from which tomographic images were reconstructed.
Czech Academy of Sciences Publication Activity Database
Kaňková, Vlasta
2017-01-01
Roč. 53, č. 6 (2017), s. 1026-1046 ISSN 0023-5954 R&D Projects: GA ČR GA15-10331S Institutional support: RVO:67985556 Keywords : stochastic programming * stochastic dominance * empirical estimates * financial applications Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.379, year: 2016 http://library.utia.cas.cz/separaty/2017/E/kankova-0485151.pdf
Constrained Optimization and Optimal Control for Partial Differential Equations
Leugering, Günter; Griewank, Andreas
2012-01-01
This special volume focuses on optimization and control of processes governed by partial differential equations. The contributors are mostly participants of the DFG-priority program 1253: Optimization with PDE-constraints which is active since 2006. The book is organized in sections which cover almost the entire spectrum of modern research in this emerging field. Indeed, even though the field of optimal control and optimization for PDE-constrained problems has undergone a dramatic increase of interest during the last four decades, a full theory for nonlinear problems is still lacking. The cont
Fuzzy logic control and optimization system
Lou, Xinsheng [West Hartford, CT
2012-04-17
A control system (300) for optimizing a power plant includes a chemical loop having an input for receiving an input signal (369) and an output for outputting an output signal (367), and a hierarchical fuzzy control system (400) operably connected to the chemical loop. The hierarchical fuzzy control system (400) includes a plurality of fuzzy controllers (330). The hierarchical fuzzy control system (400) receives the output signal (367), optimizes the input signal (369) based on the received output signal (367), and outputs an optimized input signal (369) to the input of the chemical loop to control a process of the chemical loop in an optimized manner.
Near optimal decentralized H_inf control
DEFF Research Database (Denmark)
Stoustrup, J.; Niemann, Hans Henrik
It is shown that foir a class of decentralized control problems there does not exist a sequence of controllers of bounded order which obtains near optimal control. Neither does there exist an infinity dimentional optimal controller. Using the insight of the line of proof of these results, a heuri...
Stochastic Greybox Modeling for Control of an Alternating Activated Sludge Process
DEFF Research Database (Denmark)
Halvgaard, Rasmus Fogtmann; Vezzaro, Luca; Grum, M.
We present a stochastic greybox model of a BioDenitro WWTP that can be used for short time horizon Model Predictive Control. The model is based on a simpliﬁed ASM1 model and takes model uncertainty in to account. It estimates unmeasured state variables in the system, e.g. the inlet concentration...
Directory of Open Access Journals (Sweden)
Krishnan Balachandran
2011-06-01
Full Text Available We establish sufficient conditions for controllability of neutral impulsive stochastic quasilinear integrodifferential systems with nonlocal conditions in Hilbert spaces. The results are obtained by using semigroup theory, evolution operator and a fixed point technique. An example is provided to illustrate the obtained results.
An Anatomically Constrained, Stochastic Model of Eye Movement Control in Reading
McDonald, Scott A.; Carpenter, R. H. S.; Shillcock, Richard C.
2005-01-01
This article presents SERIF, a new model of eye movement control in reading that integrates an established stochastic model of saccade latencies (LATER; R. H. S. Carpenter, 1981) with a fundamental anatomical constraint on reading: the vertically split fovea and the initial projection of information in either visual field to the contralateral…
Optimal Inventory Control with Advance Supply Information
Directory of Open Access Journals (Sweden)
Marko Jaksic
2016-09-01
Full Text Available It has been shown in numerous situations that sharing information between the companies leads to improved performance of the supply chain. We study a positive lead time periodic-review inventory system of a retailer facing stochastic demand from his customer and stochastic limited supply capacity of the manufacturer supplying the products to him. The consequence of stochastic supply capacity is that the orders might not be delivered in full, and the exact size of the replenishment might not be known to the retailer. The manufacturer is willing to share the so-called advance supply information (ASI about the actual replenishment of the retailer's pipeline order with the retailer. ASI is provided at a certain time after the orders have been placed and the retailer can now use this information to decrease the uncertainty of the supply, and thus improve its inventory policy. For this model, we develop a dynamic programming formulation, and characterize the optimal ordering policy as a state-dependent base-stock policy. In addition, we show some properties of the base-stock level. While the optimal policy is highly complex, we obtain some additional insights by comparing it to the state-dependent myopic inventory policy. We conduct the numerical analysis to estimate the in uence of the system parameters on the value of ASI. While we show that the interaction between the parameters is relatively complex, the general insight is that due to increasing marginal returns, the majority of the benets are gained only in the case of full, or close to full, ASI visibility.
Genetic algorithms for optimal design and control of adaptive structures
Ribeiro, Rui; da Mota Silva, Suzana; Rodrigues, Jose D.; Vaz, Mario A. P.
2000-06-01
Future High Energy Physics experiments require the use of light and stable structures to support their most precise radiation detection elements. These large structures must be light, highly stable, stiff and radiation tolerant in an environment where external vibrations, high radiation levels, material aging, temperature and humidity gradients are not negligible. Unforeseen factors and the unknown result of the coupling of environmental conditions, together with external vibrations, may affect the position stability of the detectors and their support structures compromising their physics performance. Careful optimization of static and dynamic behavior must be an essential part of the engineering design. Genetic Algorithms (GA) belong to the group of probabilistic algorithms, combining elements of direct and stochastic search. They are more robust than existing directed search methods with the advantage of maintaining a population of potential solutions. There is a class of optimization problems for which Genetic Algorithms can be effectively applied. Among them are the ones related to shape control and optimal placement of sensors/actuators for active control of vibrations. In this paper these two problems are addressed and numerically investigated. The finite element method is used for the analysis of the dynamic characteristics. For the case of the optimal placement of sensors/actuators a performance index, proportional to the damping of the system in closed- loop, is used. Genetic algorithms prove their efficiency in this kind of optimization problems.
Mohamed A.A.F. Mansour
2011-01-01
Problem statement: In this research, we addressed the problem of minimizing the earliness-tardiness penalties and manufacturing costs of a single machine with a stochastic controllable processing and tooling cost. Approach: We developed a mathematical non-linear integer programming model and its linearised version to find the optimal solution. We introduced a new genome representation in single machine scheduling literature that evolved by a genetic algorithm to solve the problem. The genome ...
Nearly optimal quantum control: an analytical approach
Sun, Chen; Saxena, Avadh; Sinitsyn, Nikolai A.
2017-09-01
We propose nearly optimal control strategies for changing the states of a quantum system. We argue that quantum control optimization can be studied analytically within some protocol families that depend on a small set of parameters for optimization. This optimization strategy can be preferred in practice because it is physically transparent and does not lead to combinatorial complexity in multistate problems. As a demonstration, we design optimized control protocols that achieve switching between orthogonal states of a naturally biased quantum two-level system.
Chiavico, Mattia; Raso, Luciano; Dorchies, David; Malaterre, Pierre-Olivier
2015-04-01
Seine river region is an extremely important logistic and economic junction for France and Europe. The hydraulic protection of most part of the region relies on four controlled reservoirs, managed by EPTB Seine-Grands Lacs. Presently, reservoirs operation is not centrally coordinated, and release rules are based on empirical filling curves. In this study, we analyze how a centralized release policy can face flood and drought risks, optimizing water system efficiency. The optimal and centralized decisional problem is solved by Stochastic Dual Dynamic Programming (SDDP) method, minimizing an operational indicator for each planning objective. SDDP allows us to include into the system: 1) the hydrological discharge, specifically a stochastic semi-distributed auto-regressive model, 2) the hydraulic transfer model, represented by a linear lag and route model, and 3) reservoirs and diversions. The novelty of this study lies on the combination of reservoir and hydraulic models in SDDP for flood and drought protection problems. The study case covers the Seine basin until the confluence with Aube River: this system includes two reservoirs, the city of Troyes, and the Nuclear power plant of Nogent-Sur-Seine. The conflict between the interests of flood protection, drought protection, water use and ecology leads to analyze the environmental system in a Multi-Objective perspective.
Elsawy, Hesham
2014-08-01
Using stochastic geometry, we develop a tractable uplink modeling paradigm for outage probability and spectral efficiency in both single and multi-tier cellular wireless networks. The analysis accounts for per user equipment (UE) power control as well as the maximum power limitations for UEs. More specifically, for interference mitigation and robust uplink communication, each UE is required to control its transmit power such that the average received signal power at its serving base station (BS) is equal to a certain threshold ρo. Due to the limited transmit power, the UEs employ a truncated channel inversion power control policy with a cutoff threshold of ρo. We show that there exists a transfer point in the uplink system performance that depends on the following tuple: BS intensity λ, maximum transmit power of UEs Pu, and ρo. That is, when Pu is a tight operational constraint with respect to (w.r.t.) λ and ρo, the uplink outage probability and spectral efficiency highly depend on the values of λ and ρo. In this case, there exists an optimal cutoff threshold ρ*o, which depends on the system parameters, that minimizes the outage probability. On the other hand, when Pu is not a binding operational constraint w.r.t. λ and ρo, the uplink outage probability and spectral efficiency become independent of λ and ρo. We obtain approximate yet accurate simple expressions for outage probability and spectral efficiency, which reduce to closed forms in some special cases. © 2002-2012 IEEE.
Stochastic Averaging and Stochastic Extremum Seeking
Liu, Shu-Jun
2012-01-01
Stochastic Averaging and Stochastic Extremum Seeking develops methods of mathematical analysis inspired by the interest in reverse engineering and analysis of bacterial convergence by chemotaxis and to apply similar stochastic optimization techniques in other environments. The first half of the text presents significant advances in stochastic averaging theory, necessitated by the fact that existing theorems are restricted to systems with linear growth, globally exponentially stable average models, vanishing stochastic perturbations, and prevent analysis over infinite time horizon. The second half of the text introduces stochastic extremum seeking algorithms for model-free optimization of systems in real time using stochastic perturbations for estimation of their gradients. Both gradient- and Newton-based algorithms are presented, offering the user the choice between the simplicity of implementation (gradient) and the ability to achieve a known, arbitrary convergence rate (Newton). The design of algorithms...
Control derivative to optimal control analysis | Omolehin | Journal of ...
African Journals Online (AJOL)
Optimal control theory, generally, is to determine the control signals which will cause a process to satisfy the physical constraints and at the same time optimize some performance criterion. In this work, a numerical method for finding solution to linear optimal control problems with bounded state constraints is examined.
Directory of Open Access Journals (Sweden)
Khurram Hammed
2016-01-01
Full Text Available This paper presents a stochastic global optimization technique known as Particle Swarm Optimization (PSO for joint estimation of amplitude and direction of arrival of the targets in RADAR communication system. The proposed scheme is an excellent optimization methodology and a promising approach for solving the DOA problems in communication systems. Moreover, PSO is quite suitable for real time scenario and easy to implement in hardware. In this study, uniform linear array is used and targets are supposed to be in far field of the arrays. Formulation of the fitness function is based on mean square error and this function requires a single snapshot to obtain the best possible solution. To check the accuracy of the algorithm, all of the results are taken by varying the number of antenna elements and targets. Finally, these results are compared with existing heuristic techniques to show the accuracy of PSO.
Macian-Sorribes, Hector; Pulido-Velazquez, Manuel
2016-04-01
This contribution presents a methodology for defining optimal seasonal operating rules in multireservoir systems coupling expert criteria and stochastic optimization. Both sources of information are combined using fuzzy logic. The structure of the operating rules is defined based on expert criteria, via a joint expert-technician framework consisting in a series of meetings, workshops and surveys carried out between reservoir managers and modelers. As a result, the decision-making process used by managers can be assessed and expressed using fuzzy logic: fuzzy rule-based systems are employed to represent the operating rules and fuzzy regression procedures are used for forecasting future inflows. Once done that, a stochastic optimization algorithm can be used to define optimal decisions and transform them into fuzzy rules. Finally, the optimal fuzzy rules and the inflow prediction scheme are combined into a Decision Support System for making seasonal forecasts and simulate the effect of different alternatives in response to the initial system state and the foreseen inflows. The approach presented has been applied to the Jucar River Basin (Spain). Reservoir managers explained how the system is operated, taking into account the reservoirs' states at the beginning of the irrigation season and the inflows previewed during that season. According to the information given by them, the Jucar River Basin operating policies were expressed via two fuzzy rule-based (FRB) systems that estimate the amount of water to be allocated to the users and how the reservoir storages should be balanced to guarantee those deliveries. A stochastic optimization model using Stochastic Dual Dynamic Programming (SDDP) was developed to define optimal decisions, which are transformed into optimal operating rules embedding them into the two FRBs previously created. As a benchmark, historical records are used to develop alternative operating rules. A fuzzy linear regression procedure was employed to
Velarde, P.; Valverde, L.; Maestre, J. M.; Ocampo-Martinez, C.; Bordons, C.
2017-03-01
In this paper, a performance comparison among three well-known stochastic model predictive control approaches, namely, multi-scenario, tree-based, and chance-constrained model predictive control is presented. To this end, three predictive controllers have been designed and implemented in a real renewable-hydrogen-based microgrid. The experimental set-up includes a PEM electrolyzer, lead-acid batteries, and a PEM fuel cell as main equipment. The real experimental results show significant differences from the plant components, mainly in terms of use of energy, for each implemented technique. Effectiveness, performance, advantages, and disadvantages of these techniques are extensively discussed and analyzed to give some valid criteria when selecting an appropriate stochastic predictive controller.
Chou, Sheng-Kai; Jiau, Ming-Kai; Huang, Shih-Chia
2016-08-01
The growing ubiquity of vehicles has led to increased concerns about environmental issues. These concerns can be mitigated by implementing an effective carpool service. In an intelligent carpool system, an automated service process assists carpool participants in determining routes and matches. It is a discrete optimization problem that involves a system-wide condition as well as participants' expectations. In this paper, we solve the carpool service problem (CSP) to provide satisfactory ride matches. To this end, we developed a particle swarm carpool algorithm based on stochastic set-based particle swarm optimization (PSO). Our method introduces stochastic coding to augment traditional particles, and uses three terminologies to represent a particle: 1) particle position; 2) particle view; and 3) particle velocity. In this way, the set-based PSO (S-PSO) can be realized by local exploration. In the simulation and experiments, two kind of discrete PSOs-S-PSO and binary PSO (BPSO)-and a genetic algorithm (GA) are compared and examined using tested benchmarks that simulate a real-world metropolis. We observed that the S-PSO outperformed the BPSO and the GA thoroughly. Moreover, our method yielded the best result in a statistical test and successfully obtained numerical results for meeting the optimization objectives of the CSP.
Optimal control of raw timber production processes
Ivan Kolenka
1978-01-01
This paper demonstrates the possibility of optimal planning and control of timber harvesting activ-ities with mathematical optimization models. The separate phases of timber harvesting are represented by coordinated models which can be used to select the optimal decision for the execution of any given phase. The models form a system whose components are connected and...
Stochastic Reliability Measurement and Design Optimization of an Inventory Management System
Directory of Open Access Journals (Sweden)
Abdulaziz T. Almaktoom
2017-01-01
Full Text Available Inventory management systems and dynamic reliability measures and controls remain challenging at every stage, especially when time variances and operating conditions are considered. An inventory management system must maintain its adeptness over time while coping with the uncertainty of inventory flow. Unexpected delays during inventory movement can harm the reliability and robustness of the entire system. This paper introduces a method of quantifying the reliability of an inventory management system. Also, a novel, reliability-based robust design optimization model has been developed to optimally allocate and schedule time while considering uncertainty associated with inventory movement. The processes involved include purchasing, shipping, receiving, tracking, warehousing, storage, and turnover. A case study of a furniture company in Saudi Arabia is presented to demonstrate the efficacy of the model.
Adaptive optimization and control using neural networks
Energy Technology Data Exchange (ETDEWEB)
Mead, W.C.; Brown, S.K.; Jones, R.D.; Bowling, P.S.; Barnes, C.W.
1993-10-22
Recent work has demonstrated the ability of neural-network-based controllers to optimize and control machines with complex, non-linear, relatively unknown control spaces. We present a brief overview of neural networks via a taxonomy illustrating some capabilities of different kinds of neural networks. We present some successful control examples, particularly the optimization and control of a small-angle negative ion source.
Mixed-Strategy Chance Constrained Optimal Control
Ono, Masahiro; Kuwata, Yoshiaki; Balaram, J.
2013-01-01
This paper presents a novel chance constrained optimal control (CCOC) algorithm that chooses a control action probabilistically. A CCOC problem is to find a control input that minimizes the expected cost while guaranteeing that the probability of violating a set of constraints is below a user-specified threshold. We show that a probabilistic control approach, which we refer to as a mixed control strategy, enables us to obtain a cost that is better than what deterministic control strategies can achieve when the CCOC problem is nonconvex. The resulting mixed-strategy CCOC problem turns out to be a convexification of the original nonconvex CCOC problem. Furthermore, we also show that a mixed control strategy only needs to "mix" up to two deterministic control actions in order to achieve optimality. Building upon an iterative dual optimization, the proposed algorithm quickly converges to the optimal mixed control strategy with a user-specified tolerance.
Mean Field Control of Large Population Stochastic Systems
2012-07-31
Standard Form 298 (Rev. 8/98) REPORT DOCUMENTATION PAGE Prescribed by ANSI Std. Z39.18 Form Approved OMB No. 0704-0188 The public reporting...equivalence control with population dynamical and cost parameter estimation,’’ 19th Latin American Congress of Automatic Control, ACCA , Santiago, Chile
Bifurcation Regulations Governed by Delay Self-Control Feedback in a Stochastic Birhythmic System
Ma, Zhidan; Ning, Lijuan
2017-12-01
We aim to investigate bifurcation behaviors in a stochastic birhythmic van der Pol (BVDP) system subjected to delay self-control feedback. First, the harmonic approximation is adopted to drive the delay self-control feedback to state variables without delay. Then, Fokker-Planck-Kolmogorov (FPK) equation and stationary probability density function (SPDF) for amplitude are obtained by applying stochastic averaging method. Finally, dynamical scenarios of the change of delay self-control feedback as well as noise that markedly influence bifurcation performance are observed. It is found that: the big feedback strength and delay will suppress the large amplitude limit cycle (LC) while the relatively big noise strength facilitates the large amplitude LC, which imply the proposed regulation strategies are feasible. Interestingly enough, the inner LC is never destroyed due to noise. Furthermore, the validity of analytical results was verified by Monte Carlo simulation of the dynamics.
Optimization analysis of propulsion motor control efficiency
Directory of Open Access Journals (Sweden)
CAI Qingnan
2017-12-01
Full Text Available [Objectives] This paper aims to strengthen the control effect of propulsion motors and decrease the energy used during actual control procedures.[Methods] Based on the traditional propulsion motor equivalence circuit, we increase the iron loss current component, introduce the definition of power matching ratio, calculate the highest efficiency of a motor at a given speed and discuss the flux corresponding to the power matching ratio with the highest efficiency. In the original motor vector efficiency optimization control module, an efficiency optimization control module is added so as to achieve motor efficiency optimization and energy conservation.[Results] MATLAB/Simulink simulation data shows that the efficiency optimization control method is suitable for most conditions. The operation efficiency of the improved motor model is significantly higher than that of the original motor model, and its dynamic performance is good.[Conclusions] Our motor efficiency optimization control method can be applied in engineering to achieve energy conservation.
Almost optimal adaptive LQ control: SISO case
Polderman, Jan W.; Daams, Jasper
2002-01-01
In this paper an almost optimal indirect adaptive controller for input/output dynamical systems is proposed. The control part of the adaptive control scheme is based on a modified LQ control law: by adding a time-varying gain to the certainty equivalent control law the conflict between
Control of Stochastic and Induced Switching in Biophysical Networks
Wells, Daniel K.; Kath, William L.; Motter, Adilson E.
2015-07-01
Noise caused by fluctuations at the molecular level is a fundamental part of intracellular processes. While the response of biological systems to noise has been studied extensively, there has been limited understanding of how to exploit it to induce a desired cell state. Here we present a scalable, quantitative method based on the Freidlin-Wentzell action to predict and control noise-induced switching between different states in genetic networks that, conveniently, can also control transitions between stable states in the absence of noise. We apply this methodology to models of cell differentiation and show how predicted manipulations of tunable factors can induce lineage changes, and further utilize it to identify new candidate strategies for cancer therapy in a cell death pathway model. This framework offers a systems approach to identifying the key factors for rationally manipulating biophysical dynamics, and should also find use in controlling other classes of noisy complex networks.
Parrish, R. V.; Dieudonne, J. E.; Filippas, T. A.
1971-01-01
An algorithm employing a modified sequential random perturbation, or creeping random search, was applied to the problem of optimizing the parameters of a high-energy beam transport system. The stochastic solution of the mathematical model for first-order magnetic-field expansion allows the inclusion of state-variable constraints, and the inclusion of parameter constraints allowed by the method of algorithm application eliminates the possibility of infeasible solutions. The mathematical model and the algorithm were programmed for a real-time simulation facility; thus, two important features are provided to the beam designer: (1) a strong degree of man-machine communication (even to the extent of bypassing the algorithm and applying analog-matching techniques), and (2) extensive graphics for displaying information concerning both algorithm operation and transport-system behavior. Chromatic aberration was also included in the mathematical model and in the optimization process. Results presented show this method as yielding better solutions (in terms of resolutions) to the particular problem than those of a standard analog program as well as demonstrating flexibility, in terms of elements, constraints, and chromatic aberration, allowed by user interaction with both the algorithm and the stochastic model. Example of slit usage and a limited comparison of predicted results and actual results obtained with a 600 MeV cyclotron are given.
Directory of Open Access Journals (Sweden)
Wenlei Bai
2017-12-01
Full Text Available The deterministic methods generally used to solve DC optimal power flow (OPF do not fully capture the uncertainty information in wind power, and thus their solutions could be suboptimal. However, the stochastic dynamic AC OPF problem can be used to find an optimal solution by fully capturing the uncertainty information of wind power. That uncertainty information of future wind power can be well represented by the short-term future wind power scenarios that are forecasted using the generalized dynamic factor model (GDFM—a novel multivariate statistical wind power forecasting model. Furthermore, the GDFM can accurately represent the spatial and temporal correlations among wind farms through the multivariate stochastic process. Fully capturing the uncertainty information in the spatially and temporally correlated GDFM scenarios can lead to a better AC OPF solution under a high penetration level of wind power. Since the GDFM is a factor analysis based model, the computational time can also be reduced. In order to further reduce the computational time, a modified artificial bee colony (ABC algorithm is used to solve the AC OPF problem based on the GDFM forecasting scenarios. Using the modified ABC algorithm based on the GDFM forecasting scenarios has resulted in better AC OPF’ solutions on an IEEE 118-bus system at every hour for 24 h.
Load Frequency Control in Microgrids Based on a Stochastic Non-Integer Controller
DEFF Research Database (Denmark)
Khooban, Mohammad-Hassan; Niknam, Taher; Shasadeghi, Mokhtar
2018-01-01
hole optimization algorithm (MBHA) is utilized for the adaptive tuning of the non-integer fuzzy PID controller coefficients. The performance of the proposed LFC is evaluated by using real world wind and solar radiation data. Finally, the extensive studies and hardware-in-the-loop (HIL) simulations......In this paper, an adaptive multi-objective Fractional-Order Fuzzy proportional-integral-derivative (MOFOFPID) controller is proposed for the load frequency control (LFC) of islanded Microgrids (MGs), while benefiting from the assets of electric vehicles (EVs) in this respect. Although the use...... of EVs, also known as vehicle-to-grid (V2G) concept, for frequency support of MGs has attracted a lot of attention. In order to allow the V2G controller operate optimally under a wide range of operation conditions caused by the intermittent behavior of renewable energy resources (RESs), a new multi...
Elfering, Achim; Schade, Volker; Stoecklin, Lukas; Baur, Simone; Burger, Christian; Radlinger, Lorenz
2014-05-01
Slip, trip, and fall injuries are frequent among health care workers. Stochastic resonance whole-body vibration training was tested to improve postural control. Participants included 124 employees of a Swiss university hospital. The randomized controlled trial included an experimental group given 8 weeks of training and a control group with no intervention. In both groups, postural control was assessed as mediolateral sway on a force plate before and after the 8-week trial. Mediolateral sway was significantly decreased by stochastic resonance whole-body vibration training in the experimental group but not in the control group that received no training (p resonance whole-body vibration training is an option in the primary prevention of balance-related injury at work. Copyright 2014, SLACK Incorporated.
Neural Networks for Optimal Control
DEFF Research Database (Denmark)
Sørensen, O.
1995-01-01
Two neural networks are trained to act as an observer and a controller, respectively, to control a non-linear, multi-variable process.......Two neural networks are trained to act as an observer and a controller, respectively, to control a non-linear, multi-variable process....
Optimizing control of quality management
Directory of Open Access Journals (Sweden)
Fliginskih Tatyana Nikolayevna
2012-05-01
Full Text Available This paper describes the technology that permits controlling of business processes in industry. An example of the use of control charts as one of the most effective methods of statistical quality control of products. The author provides a definition that best reveals the understanding of quality and quality control.
N-Player Stochastic Differential Games. [control theory
Varaiya, P.
1974-01-01
Conditions are described which guarantee that the control strategies adopted by N players constitute an efficient solution, an equilibrium, or a core solution. The system dynamics are described by an Ito equation, and all players have perfect information. It was found that when the set of instantaneous joint costs and velocity vectors is convex, the conditions are necessary.
Stochastic Model of Traffic Jam and Traffic Signal Control
Shin, Ji-Sun; Cui, Cheng-You; Lee, Tae-Hong; Lee, Hee-Hyol
Traffic signal control is an effective method to solve the traffic jam. and forecasting traffic density has been known as an important part of the Intelligent Transportation System (ITS). The several methods of the traffic signal control are known such as random walk method, Neuron Network method, Bayesian Network method, and so on. In this paper, we propose a new method of a traffic signal control using a predicted distribution of traffic jam based on a Dynamic Bayesian Network model. First, a forecasting model to predict a probabilistic distribution of the traffic jam during each period of traffic lights is built. As the forecasting model, the Dynamic Bayesian Network is used to predict the probabilistic distribution of a density of the traffic jam. According to measurement of two crossing points for each cycle, the inflow and outflow of each direction and the number of standing vehicles at former cycle are obtained. The number of standing vehicle at k-th cycle will be calculated synchronously. Next, the probabilistic distribution of the density of standing vehicle in each cycle will be predicted using the Dynamic Bayesian Network constructed for the traffic jam. And then a control rule to adjust the split and the cycle to increase the probability between a lower limit and ceiling of the standing vehicles is deduced. As the results of the simulation using the actual traffic data of Kitakyushu city, the effectiveness of the method is shown.
Wang, Jianhui; Liu, Zhi; Chen, C L Philip; Zhang, Yun
2017-10-12
Hysteresis exists ubiquitously in physical actuators. Besides, actuator failures/faults may also occur in practice. Both effects would deteriorate the transient tracking performance, and even trigger instability. In this paper, we consider the problem of compensating for actuator failures and input hysteresis by proposing a fuzzy control scheme for stochastic nonlinear systems. Compared with the existing research on stochastic nonlinear uncertain systems, it is found that how to guarantee a prescribed transient tracking performance when taking into account actuator failures and hysteresis simultaneously also remains to be answered. Our proposed control scheme is designed on the basis of the fuzzy logic system and backstepping techniques for this purpose. It is proven that all the signals remain bounded and the tracking error is ensured to be within a preestablished bound with the failures of hysteretic actuator. Finally, simulations are provided to illustrate the effectiveness of the obtained theoretical results.
Directory of Open Access Journals (Sweden)
Liu Dong
2016-01-01
Full Text Available Simultaneous reconstruction of temperature field and radiative properties including scattering albedo and extinction coefficient is presented in a two-dimensional (2-D rectangular, absorbing, emitting and isotropically scattering gray medium from the knowledge of the exit radiative intensities received by charge-coupled device (CCD cameras at boundary surfaces. The inverse problem is formulated as a non-linear optimization problem and solved by stochastic particle swarm optimization. The effects of particle swarm size, generation number, measurement errors, and optical thickness on the accuracy of the estimation, and computing time were investigated and the results show that the temperature field and radiative properties can be reconstructed well for the exact and noisy data, but radiative properties are harder to obtain than temperature field. Moreover, the extinction coefficient is more difficult to reconstruct than scattering albedo.
CMOS-based Stochastically Spiking Neural Network for Optimization under Uncertainties
2017-03-01
uncertainties. We discuss a ‘scenario generation’ circuit to non- parametrically estimate/emulate statistics of uncertain cost/constraints...are explored: (1) We discuss a ‘scenario generation’ circuit to non- parametrically estimate and emulate statistics of uncertain cost/constraints...uncertainties. The discussed mixed-signal, CMOS-based architecture of stochastically spiking neural network minimizes area/power of each cell and
Raso, Luciano; Dorchies, David; Malaterre, Pierre-Olivier
2015-04-01
We developed an Objective Oriented Programming (OOP) tool for optimal management of complex water systems by use of Stochastic Dual Dynamic Programming (SDDP). OOP is a powerful programming paradigm. OOP minimizes code redundancies, making code modification and maintenance very effective. This is especially welcome in research, in which, often, code must be modified to meet new requirements that were not initially considered. SDDP is an advanced method for optimal operation of complex dynamic systems under uncertainty. SDDP can deal with large and complex systems, such as a multi-reservoir system. The objective of this tool is making SDDP usable for Water Management Analysts. Thanks to this tool, the Analyst can bypass the SDDP programming complexity, and his/her task is simplified to the definition of system elements, topology and objectives, and experiments characteristics. In this tool, the main classes are: Experiment, System, Element, and Objective. Experiments are run on a system. A system is made of many elements interconnected among them. Class Element is made of the following sub-classes: (stochastic) hydrological scenario, (deterministic) water demand scenario, reservoir, river reach, off-take, and irrigation basin. Objectives are used in the optimization procedure to find the optimal operational rules, for a given system and experiment. OOP flexibility allows the Water Management Analyst to extend easily existing classes in order to answer his/her specific research questions. The tool is implemented in Python, and will be initially tested on two applications: the Senegal River water system, in West Africa, and the Seine River, in France.
On the optimal polynomial approximation of stochastic PDEs by galerkin and collocation methods
Beck, Joakim
2012-09-01
In this work we focus on the numerical approximation of the solution u of a linear elliptic PDE with stochastic coefficients. The problem is rewritten as a parametric PDE and the functional dependence of the solution on the parameters is approximated by multivariate polynomials. We first consider the stochastic Galerkin method, and rely on sharp estimates for the decay of the Fourier coefficients of the spectral expansion of u on an orthogonal polynomial basis to build a sequence of polynomial subspaces that features better convergence properties, in terms of error versus number of degrees of freedom, than standard choices such as Total Degree or Tensor Product subspaces. We consider then the Stochastic Collocation method, and use the previous estimates to introduce a new class of Sparse Grids, based on the idea of selecting a priori the most profitable hierarchical surpluses, that, again, features better convergence properties compared to standard Smolyak or tensor product grids. Numerical results show the effectiveness of the newly introduced polynomial spaces and sparse grids. © 2012 World Scientific Publishing Company.
Directory of Open Access Journals (Sweden)
Umit Sami Sakalli
2017-01-01
Full Text Available Production-Distribution Problem (PDP in Supply Chain Management (SCM is an important tactical decision. One of the challenges in this decision is the size and complexity of supply chain system (SCS. On the other side, a tactical operation is a mid-term plan for 6–12 months; therefore, it includes different types of uncertainties, which is the second challenge. In the literature, the uncertain parameters were modeled as stochastic or fuzzy. However, there are a few studies in the literature that handle stochastic and fuzzy uncertainties simultaneously in PDP. In this paper, the modeling and solution approaches of PDP which contain stochastic and fuzzy uncertainties simultaneously are investigated for a SCS that includes multiple suppliers, multiple products, multiple plants, multiple warehouses, multiple retailers, multiple transport paths, and multiple time periods, which, to the best of the author’s knowledge, is not handled in the literature. The PDP contains deterministic, fuzzy, fuzzy random, and random fuzzy parameters. To the best of the author’s knowledge, there is no study in the literature which considers all of them simultaneously in PDP. An analytic solution approach has been developed by using possibilistic programming and chance-constrained programming approaches. The proposed modeling and solution approaches are implemented in a numerical example. The solution has shown that the proposed approaches successfully handled uncertainties and produce robust solutions for PDP.
Directory of Open Access Journals (Sweden)
Zhenya Ji
2016-11-01
Full Text Available A microgrid with an advanced energy management approach is a feasible solution for accommodating the development of distributed generators (DGs and electric vehicles (EVs. At the primary stage of development, the total number of EVs in a microgrid is fairly small but increases promptly. Thus, it makes most prediction models for EV charging demand difficult to apply at present. To overcome the inadaptability, a novel robust approach is proposed to handle EV charging demand predictions along with demand-side management (DSM on the condition of satisfying each EV user’s demand. Variables with stochastic forecast models join the objective function in the form of probability-constrained scenarios. This paper proposes a scenario-based model predictive control (MPC approach combining both robust and stochastic models to minimize the total operational cost for energy management. To overcome the concern about the convergence time increasing from the combination of scenarios, the Benders decomposition (BD technique is further adopted to improve computational efficiency. Simulation results on a combined heat and power microgrid indicate that the proposed scenario-based MPC approach achieves a better economic performance than a traditional deterministic MPC (DMPC approach, while ensuring EV charging demands, as well as minimizing the trade-off between optimal solutions and computing times.
On a multi-channel stochastic network with controlled input
Livinska, Hanna; Lebedev, Eugene
2017-06-01
In this paper stationary properties of queueing network of the type [M|M|∞]r are investigated provided that the input flow is controlled by a Markov chain. We consider two cases. In the one-dimensional case a generating function of the stationary distribution is obtained. The form of the generating function is a matrix version of the well-known Takasc formula. For a multivariate service process the condition of a stationary regime existence and a correlation matrix are found.
Stochastic Modeling of Bacteria Cell Size Control and Homeostasis
Chen, Yanyan; Buceta, Javier
Besides recent breakthroughs, there is a gap of knowledge about the mechanisms underlying cell size control and homeostasis. In this context, recent studies support the incremental rule in rod-shaped bacteria: cells add a constant length to their size before dividing which is independent of their size at birth. This growing pattern, when coupled with the mid-cell division mechanism, leads to size convergence and homeostasis. However, some aberrantly long mutant strains of E. coli, e.g. ΔFtsW, do not typically divide at the middle. Whether cell size control and homeostasis apply to those mutant backgrounds, or the role played by biomechanical cues, remain open questions. Here we present a combination of theoretical, experimental, and computational approaches to address these questions. First, we introduce a Markov chain model that describes either wild-type (wt) strains or growth-defective strains. Second, we propose a polymer-like model to account for the mechanical inputs. Finally, we test experimentally some of our predictions by using wt and conditional mutant (ΔFtsW) strains. Altogether, our preliminary studies suggest a way to unify the principles of cell size control and homeostasis of wt and growth-defective cell strains.
Stochastic Stability of Nonlinear Sampled Data Systems with a Jump Linear Controller
Gonzalez, Oscar R.; Herencia-Zapana, Heber; Gray, W. Steven
2004-01-01
This paper analyzes the stability of a sampled- data system consisting of a deterministic, nonlinear, time- invariant, continuous-time plant and a stochastic, discrete- time, jump linear controller. The jump linear controller mod- els, for example, computer systems and communication net- works that are subject to stochastic upsets or disruptions. This sampled-data model has been used in the analysis and design of fault-tolerant systems and computer-control systems with random communication delays without taking into account the inter-sample response. To analyze stability, appropriate topologies are introduced for the signal spaces of the sampled- data system. With these topologies, the ideal sampling and zero-order-hold operators are shown to be measurable maps. This paper shows that the known equivalence between the stability of a deterministic, linear sampled-data system and its associated discrete-time representation as well as between a nonlinear sampled-data system and a linearized representation holds even in a stochastic framework.
Freier, Lars; von Lieres, Eric
2017-09-09
A novel algorithm for robust multi-objective process optimization under stochastic variability of environmental variables is introduced and applied to a case study in gradient elution chromatography. Process variability is accounted for by simultaneously optimizing several scenarios with random but fixed values of the environmental variables. These iterative optimizations are synchronized by planning the same experiments for all scenarios. Experiments are designed by maximizing the cumulative expected hypervolume improvement as predicted by several Gaussian process regression models. A straightforward method is presented for estimating the expected Pareto front and its variability based on the resulting data that maintains traceability of the corresponding process parameters. This information is required for robust process optimization, that is, determination of Pareto optimal processes that fulfil specific minimal criteria with a certain confidence. The presented algorithm can generally be applied to both in silico and wet lab experiments but involves an increased experimental effort as compared to the deterministic case. © 2017 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.
Zhang, Xin; Miao, Qiang; Liu, Zhiwen; He, Zhengjia
2017-11-01
Stochastic resonance (SR) is widely used as an enhanced signal detection method in machinery fault diagnosis. However, the system parameters have significant effects on the output results, which makes it difficult for SR method to achieve satisfactory analysis results. To solve this problem and improve the performance of SR method, this paper proposes an adaptive SR method based on grey wolf optimizer (GWO) algorithm for machinery fault diagnosis. Firstly, the SR system parameters are optimized by the GWO algorithm using a redefined signal-to-noise ratio (SNR) as optimization objective function. Then, the optimal SR output matching the input signal can be adaptively obtained using the optimized parameters. The proposed method is validated on a simulated signal detection and a rolling element bearing test bench, and then applied to the gear fault diagnosis of electric locomotive. Compared with the conventional fixed-parameter SR method, the adaptive SR method based on genetic algorithm (GA-SR) as well as the well-known fast kurtogram method, the proposed method can achieve a greater accuracy. The results indicated that the proposed method has great practical values in engineering. Copyright © 2017. Published by Elsevier Ltd.
Directory of Open Access Journals (Sweden)
Rui Zhang
2013-01-01
Full Text Available We consider a parallel machine scheduling problem with random processing/setup times and adjustable production rates. The objective functions to be minimized consist of two parts; the first part is related with the due date performance (i.e., the tardiness of the jobs, while the second part is related with the setting of machine speeds. Therefore, the decision variables include both the production schedule (sequences of jobs and the production rate of each machine. The optimization process, however, is significantly complicated by the stochastic factors in the manufacturing system. To address the difficulty, a simulation-based three-stage optimization framework is presented in this paper for high-quality robust solutions to the integrated scheduling problem. The first stage (crude optimization is featured by the ordinal optimization theory, the second stage (finer optimization is implemented with a metaheuristic called differential evolution, and the third stage (fine-tuning is characterized by a perturbation-based local search. Finally, computational experiments are conducted to verify the effectiveness of the proposed approach. Sensitivity analysis and practical implications are also discussed.
Xia, Youlong; Sen, Mrinal K.; Jackson, Charles S.; Stoffa, Paul L.
2004-10-01
This study evaluates the ability of Bayesian stochastic inversion (BSI) and multicriteria (MC) methods to search for the optimal parameter sets of the Chameleon Surface Model (CHASM) using prescribed forcing to simulate observed sensible and latent heat fluxes from seven measurement sites representative of six biomes including temperate coniferous forests, tropical forests, temperate and tropical grasslands, temperate crops, and semiarid grasslands. Calibration results with the BSI and MC show that estimated optimal values are very similar for the important parameters that are specific to the CHASM model. The model simulations based on estimated optimal parameter sets perform much better than the default parameter sets. Cross-validations for two tropical forest sites show that the calibrated parameters for one site can be transferred to another site within the same biome. The uncertainties of optimal parameters are obtained through BSI, which estimates a multidimensional posterior probability density function (PPD). Marginal PPD analyses show that nonoptimal choices of stomatal resistance would contribute most to model simulation errors at all sites, followed by ground and vegetation roughness length at six of seven sites. The impact of initial root-zone soil moisture and nonmosaic approach on estimation of optimal parameters and their uncertainties is discussed.
Optimal control of renewable economic resources
Energy Technology Data Exchange (ETDEWEB)
Adelani, L.A.
1987-01-01
Two main problems are studied: economic optimization, and determination of the optimal age of harvest for an initially immature population which follows a Bertalanffy-type growth law. Conditions are derived on the economic parameters that make maximization of economic rent biologically superior to maximization of sustainable yield. A general equation is derived for the optimal equilibrium biomass size when maximization of present value is the control objective. Also, it is shown that under perfectly elastic demand for the resource, a critical price level exists beyond which economic optimization has to be sacrificed in order to enhance conservation of the resource. An equation is derived whose solution represents the optimal age of harvest for an initially immature population stock. In certain circumstances, analytic forms are obtained for the optimal age of harvest. Some properties of the optimal age of harvest are also investigated.
Directory of Open Access Journals (Sweden)
B.I. Kuznetsov
2015-06-01
Full Text Available Purpose. Development of a method of synthesis of systems of active screening of technogenic power frequency magnetic fields within a given region of space, as well as the synthesis and performance evaluation systems synthesized active shielding magnetic field. Methodology. A mathematical model for calculating the components of the magnetic field created by current distributors power line generator or electrical conductors power and control windings magnetic executive bodies on the basis of the law of Biot - Savart - Laplace. Conductors are taken as a set of elementary sections conductors, which allows to calculate the magnetic field conductors of any shape that is different from the ideal straight lines or rectangles, and in particular, to consider the slack conductors power line power lines. Results. Synthesis of active shielding systems for technogenic power frequency magnetic fields is reduced to the solution of a nonlinear programming problem with constraints, which computation of the objective function and constraints is performed based on the Biot - Savart - Laplace law. Formulated nonlinear programming problem is solved by using the multiextremal and stochastic multi-agent method based on particle swarm optimization, in which the particle swarm move in a multidimensional search space. Originality. First developed a method for the synthesis of active shielding systems for technogenic power frequency magnetic fields using controlled source of the magnetic field by solving a nonlinear programming problem with constraints based on stochastic particle swarm optimization of multi-agent. Practical value. Examples of synthesis of systems of active shielding technogenic power frequency magnetic fields and high efficiency of the synthesized systems.
A stochastic approach to the operative control of flood flows through a reservoir
Directory of Open Access Journals (Sweden)
Jaroš Lubomír
2016-03-01
Full Text Available The contribution focuses on the design of a control algorithm aimed at the operative control of runoff water from a reservoir during flood situations. Management is based on the stochastically specified forecast of water inflow into the reservoir. From a mathematical perspective, the solved task presents the control of a dynamic system whose predicted hydrological input (water inflow is characterised by significant uncertainty. The algorithm uses a combination of simulation model data, in which the position of the bottom outlets is sought via nonlinear optimisation methods, and artificial intelligence methods (adaptation and fuzzy model. The task is written in the technical computing language MATLAB using the Fuzzy Logic Toolbox.
Optimal Control of Evolution Mixed Variational Inclusions
Energy Technology Data Exchange (ETDEWEB)
Alduncin, Gonzalo, E-mail: alduncin@geofisica.unam.mx [Universidad Nacional Autónoma de México, Departamento de Recursos Naturales, Instituto de Geofísica (Mexico)
2013-12-15
Optimal control problems of primal and dual evolution mixed variational inclusions, in reflexive Banach spaces, are studied. The solvability analysis of the mixed state systems is established via duality principles. The optimality analysis is performed in terms of perturbation conjugate duality methods, and proximation penalty-duality algorithms to mixed optimality conditions are further presented. Applications to nonlinear diffusion constrained problems as well as quasistatic elastoviscoplastic bilateral contact problems exemplify the theory.
Energy Optimal Control of Induction Motor Drives
DEFF Research Database (Denmark)
Abrahamsen, Flemming
This thesis deals with energy optimal control of small and medium-size variable speed induction motor drives for especially Heating, Ventilation and Air-Condition (HVAC) applications. Optimized efficiency is achieved by adapting the magnetization level in the motor to the load, and the basic...... purpose is demonstrate how this can be done for low-cost PWM-VSI drives without bringing the robustness of the drive below an acceptable level. Four drives are investigated with respect to energy optimal control: 2.2 kW standard and high-efficiency motor drives, 22 kW and 90 kW standard motor drives....... The method has been to make extensive efficiency measurements within the specified operating area with optimized efficiency and with constant air-gap flux, and to establish reliable converter and motor loss models based on those measurements. The loss models have been used to analyze energy optimal control...
Wang, Jun-Sheng; Yang, Guang-Hong
2017-07-25
This paper studies the optimal output-feedback control problem for unknown linear discrete-time systems with stochastic measurement and process noise. A dithered Bellman equation with the innovation covariance matrix is constructed via the expectation operator given in the form of a finite summation. On this basis, an output-feedback-based approximate dynamic programming method is developed, where the terms depending on the innovation covariance matrix are available with the aid of the innovation covariance matrix identified beforehand. Therefore, by iterating the Bellman equation, the resulting value function can converge to the optimal one in the presence of the aforementioned noise, and the nearly optimal control laws are delivered. To show the effectiveness and the advantages of the proposed approach, a simulation example and a velocity control experiment on a dc machine are employed.
Optimal Speed Control for Cruising
DEFF Research Database (Denmark)
Blanke, M.
1994-01-01
With small profit margins in merchant shipping and more than eighty percent of sailing time being cross ocean voyages, speed control is crucial for vessel profitability......With small profit margins in merchant shipping and more than eighty percent of sailing time being cross ocean voyages, speed control is crucial for vessel profitability...
Optimal control and the calculus of variations
Pinch, Enid R
1993-01-01
This introduction to optimal control theory is intended for undergraduate mathematicians and for engineers and scientists with some knowledge of classical analysis. It includes sections on classical optimization and the calculus of variations. All the important theorems are carefully proved. There are many worked examples and exercises for the reader to attempt.
Optimal Control Design for a Solar Greenhouse
Ooteghem, van R.J.C.
2010-01-01
Abstract: An optimal climate control has been designed for a solar greenhouse to achieve optimal crop production with sustainable instead of fossil energy. The solar greenhouse extends a conventional greenhouse with an improved roof cover, ventilation with heat recovery, a heat pump, a heat
Greenhouse climate management : an optimal control approach
Henten, van E.J.
1994-01-01
In this thesis a methodology is developed for the construction and analysis of an optimal greenhouse climate control system.
In chapter 1, the results of a literature survey are presented and the research objectives are defined. In the literature, optimal greenhouse climate
Quantum demolition filtering and optimal control of unstable systems.
Belavkin, V P
2012-11-28
A brief account of the quantum information dynamics and dynamical programming methods for optimal control of quantum unstable systems is given to both open loop and feedback control schemes corresponding respectively to deterministic and stochastic semi-Markov dynamics of stable or unstable systems. For the quantum feedback control scheme, we exploit the separation theorem of filtering and control aspects as in the usual case of quantum stable systems with non-demolition observation. This allows us to start with the Belavkin quantum filtering equation generalized to demolition observations and derive the generalized Hamilton-Jacobi-Bellman equation using standard arguments of classical control theory. This is equivalent to a Hamilton-Jacobi equation with an extra linear dissipative term if the control is restricted to Hamiltonian terms in the filtering equation. An unstable controlled qubit is considered as an example throughout the development of the formalism. Finally, we discuss optimum observation strategies to obtain a pure quantum qubit state from a mixed one.
A Feedback Optimal Control Algorithm with Optimal Measurement Time Points
Directory of Open Access Journals (Sweden)
Felix Jost
2017-02-01
Full Text Available Nonlinear model predictive control has been established as a powerful methodology to provide feedback for dynamic processes over the last decades. In practice it is usually combined with parameter and state estimation techniques, which allows to cope with uncertainty on many levels. To reduce the uncertainty it has also been suggested to include optimal experimental design into the sequential process of estimation and control calculation. Most of the focus so far was on dual control approaches, i.e., on using the controls to simultaneously excite the system dynamics (learning as well as minimizing a given objective (performing. We propose a new algorithm, which sequentially solves robust optimal control, optimal experimental design, state and parameter estimation problems. Thus, we decouple the control and the experimental design problems. This has the advantages that we can analyze the impact of measurement timing (sampling independently, and is practically relevant for applications with either an ethical limitation on system excitation (e.g., chemotherapy treatment or the need for fast feedback. The algorithm shows promising results with a 36% reduction of parameter uncertainties for the Lotka-Volterra fishing benchmark example.
Optimal Control of Electrodynamic Tethers
2008-06-01
unachievable sun-synchronous orbits. One advantage would be that a satellite could reside in a desired orbit while maintaining optimal solar panel ...9) ( )h v s B e( )1 22 2 2 * *1 23 2 p pm e oL c B e μ μ ω θ ρ τ−− = − − θ ( ) 2 *1 2v s B eθ fined ( )1 22 23 2 p pm e...Likewise the kinetic energy for mass 2 is ( ) ( )( ) 2 22 T m= ⋅ =2 2v v 22 2 2 1 2 2 2 2 2 m mmm M M μ μ⎧ ⎫′ ′ ′ ′⋅ + + ⋅ + ⋅ × + ⋅ + ⋅ × + × ⋅ ×⎨ ⎬ ⎩ ⎭ r
Optimal control for Malaria disease through vaccination
Munzir, Said; Nasir, Muhammad; Ramli, Marwan
2018-01-01
Malaria is a disease caused by an amoeba (single-celled animal) type of plasmodium where anopheles mosquito serves as the carrier. This study examines the optimal control problem of malaria disease spread based on Aron and May (1982) SIR type models and seeks the optimal solution by minimizing the prevention of the spreading of malaria by vaccine. The aim is to investigate optimal control strategies on preventing the spread of malaria by vaccination. The problem in this research is solved using analytical approach. The analytical method uses the Pontryagin Minimum Principle with the symbolic help of MATLAB software to obtain optimal control result and to analyse the spread of malaria with vaccination control.
Optimal Corrosion Control Treatment Evaluation Technical Recommendations
This document provides technical recommendations that both systems and primacy agencies can use to comply with LCR CCT requirements and effective evaluation and designation of optimal corrosion control treatment (OCCT).
Fluid Limits of Optimally Controlled Queueing Networks
Guodong Pang; Day, Martin V.
2007-01-01
We consider a class of queueing processes represented by a Skorokhod problem coupled with a controlled point process. Posing a discounted control problem for such processes, we show that the optimal value functions converge, in the fluid limit, to the value of an analogous deterministic control problem for fluid processes. Peer Reviewed
Fluid Limits of Optimally Controlled Queueing Networks
Directory of Open Access Journals (Sweden)
Guodong Pang
2007-01-01
Full Text Available We consider a class of queueing processes represented by a Skorokhod problem coupled with a controlled point process. Posing a discounted control problem for such processes, we show that the optimal value functions converge, in the fluid limit, to the value of an analogous deterministic control problem for fluid processes.
Computational procedures for implementing the optimal control ...
African Journals Online (AJOL)
The Extended Conjugate Gradient Method, ECGM, [1] was used to compute the control and state gradients of the unconstrained optimal control problem for higher-order nondispersive wave. Also computed are the descent directions for both the control and the state variables. These functions are the most important ...
Robust Structured Control Design via LMI Optimization
DEFF Research Database (Denmark)
Adegas, Fabiano Daher; Stoustrup, Jakob
2011-01-01
This paper presents a new procedure for discrete-time robust structured control design. Parameter-dependent nonconvex conditions for stabilizable and induced L2-norm performance controllers are solved by an iterative linear matrix inequalities (LMI) optimization. A wide class of controller...
Cano, Emilio L; Moguerza, Javier M; Alonso-Ayuso, Antonio
2015-12-01
Optimization instances relate to the input and output data stemming from optimization problems in general. Typically, an optimization problem consists of an objective function to be optimized (either minimized or maximized) and a set of constraints. Thus, objective and constraints are jointly a set of equations in the optimization model. Such equations are a combination of decision variables and known parameters, which are usually related to a set domain. When this combination is a linear combination, we are facing a classical Linear Programming (LP) problem. An optimization instance is related to an optimization model. We refer to that model as the Symbolic Model Specification (SMS) containing all the sets, variables, and parameters symbols and relations. Thus, a whole instance is composed by the SMS, the elements in each set, the data values for all the parameters, and, eventually, the optimal decisions resulting from the optimization solution. This data article contains several optimization instances from a real-world optimization problem relating to investment planning on energy efficient technologies at the building level.
The two-regime method for optimizing stochastic reaction-diffusion simulations
Flegg, M. B.
2011-10-19
Spatial organization and noise play an important role in molecular systems biology. In recent years, a number of software packages have been developed for stochastic spatio-temporal simulation, ranging from detailed molecular-based approaches to less detailed compartment-based simulations. Compartment-based approaches yield quick and accurate mesoscopic results, but lack the level of detail that is characteristic of the computationally intensive molecular-based models. Often microscopic detail is only required in a small region (e.g. close to the cell membrane). Currently, the best way to achieve microscopic detail is to use a resource-intensive simulation over the whole domain. We develop the two-regime method (TRM) in which a molecular-based algorithm is used where desired and a compartment-based approach is used elsewhere. We present easy-to-implement coupling conditions which ensure that the TRM results have the same accuracy as a detailed molecular-based model in the whole simulation domain. Therefore, the TRM combines strengths of previously developed stochastic reaction-diffusion software to efficiently explore the behaviour of biological models. Illustrative examples and the mathematical justification of the TRM are also presented.
Chemical optimization algorithm for fuzzy controller design
Astudillo, Leslie; Castillo, Oscar
2014-01-01
In this book, a novel optimization method inspired by a paradigm from nature is introduced. The chemical reactions are used as a paradigm to propose an optimization method that simulates these natural processes. The proposed algorithm is described in detail and then a set of typical complex benchmark functions is used to evaluate the performance of the algorithm. Simulation results show that the proposed optimization algorithm can outperform other methods in a set of benchmark functions. This chemical reaction optimization paradigm is also applied to solve the tracking problem for the dynamic model of a unicycle mobile robot by integrating a kinematic and a torque controller based on fuzzy logic theory. Computer simulations are presented confirming that this optimization paradigm is able to outperform other optimization techniques applied to this particular robot application
Directory of Open Access Journals (Sweden)
Xuefei Wu
2013-01-01
Full Text Available This paper investigates the mean-square exponential synchronization issues of delayed stochastic complex dynamical networks with switching topology and impulsive control. By using the Lyapunov functional method, impulsive control theory, and linear matrix inequality (LMI approaches, some sufficient conditions are derived to guarantee the mean-square exponential synchronization of delay complex dynamical network with switch topology, which are independent of the network size and switch topology. Numerical simulations are given to illustrate the effectiveness of the obtained results in the end.
Energy Technology Data Exchange (ETDEWEB)
Shishkin, Alexander A. [Institute of Plasma Physics, National Science Center, Kharkov Institute of Physics and Technology, Kharkov (Ukraine)
2001-02-01
A new method of particle motion control in toroidal magnetic traps with rotational transform using the estafette of drift resonances and stochasticity of particle trajectories is proposed. The use of the word estafette' here means that the particle passes through a set of resonances in consecutive order from one to another during its motion. The overlapping of adjacent resonances can be moved radially from the center to the edge of the plasma by switching on the corresponding perturbations in accordance with a particular rule in time. In this way particles (e.g. cold alpha-particle) can be removed from the center of the confinement volume to the plasma periphery. For the analytical treatment of the stochastic behaviour of particle motion the stochastic diffusion coefficients D{sub r,}r, D{sub r,{theta}}, D{sub {theta}}{sub ,{theta}} are introduced. The new approach is demonstrated by numerical computations of the test helium particle trajectories in the toroidal trap Large Helical Device. (author)
Using Markov Models of Fault Growth Physics and Environmental Stresses to Optimize Control Actions
Bole, Brian; Goebel, Kai; Vachtsevanos, George
2012-01-01
A generalized Markov chain representation of fault dynamics is presented for the case that available modeling of fault growth physics and future environmental stresses can be represented by two independent stochastic process models. A contrived but representatively challenging example will be presented and analyzed, in which uncertainty in the modeling of fault growth physics is represented by a uniformly distributed dice throwing process, and a discrete random walk is used to represent uncertain modeling of future exogenous loading demands to be placed on the system. A finite horizon dynamic programming algorithm is used to solve for an optimal control policy over a finite time window for the case that stochastic models representing physics of failure and future environmental stresses are known, and the states of both stochastic processes are observable by implemented control routines. The fundamental limitations of optimization performed in the presence of uncertain modeling information are examined by comparing the outcomes obtained from simulations of an optimizing control policy with the outcomes that would be achievable if all modeling uncertainties were removed from the system.
Maximum principle for a stochastic delayed system involving terminal state constraints.
Wen, Jiaqiang; Shi, Yufeng
2017-01-01
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an equivalent backward delayed system depicted as a time-delayed backward stochastic differential equation. Then a stochastic maximum principle is obtained by virtue of Ekeland's variational principle. Finally, applications to a state constrained stochastic delayed linear-quadratic control model and a production-consumption choice problem are studied to illustrate the main obtained result.
Optimal control problem for the extended Fisher–Kolmogorov equation
Indian Academy of Sciences (India)
In this paper, the optimal control problem for the extended Fisher–Kolmogorov equation is studied. The optimal control under boundary condition is given, the existence of optimal solution to the equation is proved and the optimality system is established.
Energy Technology Data Exchange (ETDEWEB)
Zhou, Yuyang; Zhang, Qichun; Wang, Hong
2016-08-30
To enhance the performance of the tracking property , this paper presents a novel control algorithm for a class of linear dynamic stochastic systems with unmeasurable states, where the performance enhancement loop is established based on Kalman filter. Without changing the existing closed loop with the PI controller, the compensative controller is designed to minimize the variances of the tracking errors using the estimated states and the propagation of state variances. Moreover, the stability of the closed-loop systems has been analyzed in the mean-square sense. A simulated example is included to show the effectiveness of the presented control algorithm, where encouraging results have been obtained.
Optimal Wentzell Boundary Control of Parabolic Equations
Energy Technology Data Exchange (ETDEWEB)
Luo, Yousong, E-mail: yousong.luo@rmit.edu.au [RMIT University, School of Mathematical and Geospatial Sciences (Australia)
2017-04-15
This paper deals with a class of optimal control problems governed by an initial-boundary value problem of a parabolic equation. The case of semi-linear boundary control is studied where the control is applied to the system via the Wentzell boundary condition. The differentiability of the state variable with respect to the control is established and hence a necessary condition is derived for the optimal solution in the case of both unconstrained and constrained problems. The condition is also sufficient for the unconstrained convex problems. A second order condition is also derived.
Gower, Robert M.
2018-02-12
We present the first accelerated randomized algorithm for solving linear systems in Euclidean spaces. One essential problem of this type is the matrix inversion problem. In particular, our algorithm can be specialized to invert positive definite matrices in such a way that all iterates (approximate solutions) generated by the algorithm are positive definite matrices themselves. This opens the way for many applications in the field of optimization and machine learning. As an application of our general theory, we develop the {\\\\em first accelerated (deterministic and stochastic) quasi-Newton updates}. Our updates lead to provably more aggressive approximations of the inverse Hessian, and lead to speed-ups over classical non-accelerated rules in numerical experiments. Experiments with empirical risk minimization show that our rules can accelerate training of machine learning models.
Energy Technology Data Exchange (ETDEWEB)
Biring, Shyamal Kumar [Department of Chemistry, University of Calcutta, 92, A.P.C. Road, Kolkata 700 009 (India); Chaudhury, Pinaki, E-mail: pinakc@rediffmail.com [Department of Chemistry, University of Calcutta, 92, A.P.C. Road, Kolkata 700 009 (India)
2010-11-25
Graphical abstract: The structure of a minimum in Ar{sub 19}K{sup +} cluster. Abstract: In this paper we explore the possibility of using stochastic optimizers, namely simulated annealing (SA) in locating critical points (global minima, local minima and first order saddle points) in Argon noble gas clusters perturbed by alkali metal ions namely sodium and potassium. The atomic interaction potential is the Lennard Jones potential. We also try to see if a continuous transformation in geometry during the search process can lead to a realization of a kind of minimum energy path (MEP) for transformation from one minimum geometry to another through a transition state (first order saddle point). We try our recipe for three sizes of clusters, namely (Ar){sub 16}M{sup +}, (Ar){sub 19}M{sup +} and (Ar){sub 24}M{sup +}, where M{sup +} is Na{sup +} and K{sup +}.
Parasuraman, Ramviyas; Molinari, Luca; Kershaw, Keith; Di Castro, Mario; Masi, Alessandro; Ferre, Manuel
2014-01-01
The reliability of wireless communication in a network of mobile wireless robot nodes depends on the received radio signal strength (RSS). When the robot nodes are deployed in hostile environments with ionizing radiations (such as in some scientific facilities), there is a possibility that some electronic components may fail randomly (due to radiation effects), which causes problems in wireless connectivity. The objective of this paper is to maximize robot mission capabilities by maximizing the wireless network capacity and to reduce the risk of communication failure. Thus, in this paper, we consider a multi-node wireless tethering structure called the “server-relay-client” framework that uses (multiple) relay nodes in between a server and a client node. We propose a robust stochastic optimization (RSO) algorithm using a multi-sensor-based RSS sampling method at the relay nodes to efficiently improve and balance the RSS between the source and client nodes to improve the network capacity and to provide red...
Directory of Open Access Journals (Sweden)
Marko Hell
2014-03-01
Full Text Available This paper presents a highly formalized approach to strategy formulation and optimization of strategic performance through proper resource allocation. A stochastic quantitative model of strategic performance (SQMSP is used to evaluate the efficiency of the strategy developed. The SQMSP follows the theoretical notions of the balanced scorecard (BSC and strategy map methodologies, initially developed by Kaplan and Norton. Parameters of the SQMSP are suggested to be random variables and be evaluated by experts who give two-point (optimistic and pessimistic values and three-point (optimistic, most probable and pessimistic values evaluations. The Monte-Carlo method is used to simulate strategic performance. Having been implemented within a computer application and applied to solve the real problem (planning of an IT-strategy at the Faculty of Economics, University of Split the proposed approach demonstrated its high potential as a basis for development of decision support tools related to strategic planning.
Optimal control novel directions and applications
Aronna, Maria; Kalise, Dante
2017-01-01
Focusing on applications to science and engineering, this book presents the results of the ITN-FP7 SADCO network’s innovative research in optimization and control in the following interconnected topics: optimality conditions in optimal control, dynamic programming approaches to optimal feedback synthesis and reachability analysis, and computational developments in model predictive control. The novelty of the book resides in the fact that it has been developed by early career researchers, providing a good balance between clarity and scientific rigor. Each chapter features an introduction addressed to PhD students and some original contributions aimed at specialist researchers. Requiring only a graduate mathematical background, the book is self-contained. It will be of particular interest to graduate and advanced undergraduate students, industrial practitioners and to senior scientists wishing to update their knowledge.
Optimal control of flow with discontinuities
Homescu, Chris; Navon, I. M.
2003-05-01
Optimal control of the 1-D Riemann problem of Euler equations is studied, with the initial values for pressure and density as control parameters. The least-squares type cost functional employs either distributed observations in time or observations calculated at the end of the assimilation window. Existence of solutions for the optimal control problem is proven. Smooth and nonsmooth optimization methods employ the numerical gradient (respectively, a subgradient) of the cost functional, obtained from the adjoint of the discrete forward model. The numerical flow obtained with the optimal initial conditions obtained from the nonsmooth minimization matches very well with the observations. The algorithm for smooth minimization converges for the shorter time horizon but fails to perform satisfactorily for the longer time horizon, except when the observations corresponding to shocks are detected and removed.
OPTIMAL CONTROL FOR ELECTRIC VEHICLE STABILIZATION
Directory of Open Access Journals (Sweden)
MARIAN GAICEANU
2016-01-01
Full Text Available This main objective of the paper is to stabilize an electric vehicle in optimal manner to a step lane change maneuver. To define the mathematical model of the vehicle, the rigid body moving on a plane is taken into account. An optimal lane keeping controller delivers the adequate angles in order to stabilize the vehicle’s trajectory in an optimal way. Two degree of freedom linear bicycle model is adopted as vehicle model, consisting of lateral and yaw motion equations. The proposed control maintains the lateral stability by taking the feedback information from the vehicle transducers. In this way only the lateral vehicle’s dynamics are enough to considerate. Based on the obtained linear mathematical model the quadratic optimal control is designed in order to maintain the lateral stability of the electric vehicle. The numerical simulation results demonstrate the feasibility of the proposed solution.
Kimura, Keishiro; Kamamichi, Norihiro
2017-04-01
An ionic polymer-metal composite (IPMC) actuator is one of polymer-based soft actuators. It is produced by chemically plating gold or platinum on both surface of a perfluorosulfonic acid membrane which is known as an ion-exchange membrane. It is able to be activated by a simple driving circuit and generate a large deformation under a low applied voltage (0.5-3 V). However, individual difference and characteristics changes from environmental conditions should be considered for realizing a stable or precise control. To solve these problems, we applied a stochastic ON/OFF controller to an integrated IPMC actuator with parallel connections. The controller consists of a central controller and distributed controllers. The central controller broadcasts a control signal such as an error signal to distributed controllers uniformly. The distributed controllers switch the ON/OFF states based on the broadcasted signal stochastically. The central controller dose not measure the states of each IPMC actuator, and the control signals is calculated by using the output signal of the integrated actuator and reference signal. The validity of the applied method was investigated through numerical simulations and experiments.
DEFF Research Database (Denmark)
Vrettos, Evangelos; Ziras, Charalampos; Andersson, Goran
2016-01-01
based on local frequency measurements and without communication. The control is based on stochastic switching of refrigerators depending on the frequency deviation. We develop methods to account for typical lockout constraints of compressors and increased power consumption during the startup phase......Due to increasing shares of renewable energy sources, more frequency reserves are required to maintain power system stability. In this paper, we present a decentralized control scheme that allows a large aggregation of refrigerators to provide Primary Frequency Control (PFC) reserves to the grid...... in the controller to account for thermostat resolution limitations, and finally, we modify the control design to account for refrigerator door openings. Extensive simulations with actual frequency signal data and with different aggregation sizes, load characteristics, and control parameters, demonstrate...
Gazijahani, Farhad Samadi; Ravadanegh, Sajad Najafi; Salehi, Javad
2018-02-01
The inherent volatility and unpredictable nature of renewable generations and load demand pose considerable challenges for energy exchange optimization of microgrids (MG). To address these challenges, this paper proposes a new risk-based multi-objective energy exchange optimization for networked MGs from economic and reliability standpoints under load consumption and renewable power generation uncertainties. In so doing, three various risk-based strategies are distinguished by using conditional value at risk (CVaR) approach. The proposed model is specified as a two-distinct objective function. The first function minimizes the operation and maintenance costs, cost of power transaction between upstream network and MGs as well as power loss cost, whereas the second function minimizes the energy not supplied (ENS) value. Furthermore, the stochastic scenario-based approach is incorporated into the approach in order to handle the uncertainty. Also, Kantorovich distance scenario reduction method has been implemented to reduce the computational burden. Finally, non-dominated sorting genetic algorithm (NSGAII) is applied to minimize the objective functions simultaneously and the best solution is extracted by fuzzy satisfying method with respect to risk-based strategies. To indicate the performance of the proposed model, it is performed on the modified IEEE 33-bus distribution system and the obtained results show that the presented approach can be considered as an efficient tool for optimal energy exchange optimization of MGs. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.
Precise Orbit Solution for Swarm Using Space-Borne GPS Data and Optimized Pseudo-Stochastic Pulses
Directory of Open Access Journals (Sweden)
Bingbing Zhang
2017-03-01
Full Text Available Swarm is a European Space Agency (ESA project that was launched on 22 November 2013, which consists of three Swarm satellites. Swarm precise orbits are essential to the success of the above project. This study investigates how well Swarm zero-differenced (ZD reduced-dynamic orbit solutions can be determined using space-borne GPS data and optimized pseudo-stochastic pulses under high ionospheric activity. We choose Swarm space-borne GPS data from 1–25 October 2014, and Swarm reduced-dynamic orbits are obtained. Orbit quality is assessed by GPS phase observation residuals and compared with Precise Science Orbits (PSOs released by ESA. Results show that pseudo-stochastic pulses with a time interval of 6 min and a priori standard deviation (STD of 10−2 mm/s in radial (R, along-track (T and cross-track (N directions are optimized to Swarm ZD reduced-dynamic precise orbit determination (POD. During high ionospheric activity, the mean Root Mean Square (RMS of Swarm GPS phase residuals is at 9–11 mm, Swarm orbit solutions are also compared with Swarm PSOs released by ESA and the accuracy of Swarm orbits can reach 2–4 cm in R, T and N directions. Independent Satellite Laser Ranging (SLR validation indicates that Swarm reduced-dynamic orbits have an accuracy of 2–4 cm. Swarm-B orbit quality is better than those of Swarm-A and Swarm-C. The Swarm orbits can be applied to the geomagnetic, geoelectric and gravity field recovery.
Optimal control of a CSTR process
Directory of Open Access Journals (Sweden)
A. Soukkou
2008-12-01
Full Text Available Designing an effective criterion and learning algorithm for find the best structure is a major problem in the control design process. In this paper, the fuzzy optimal control methodology is applied to the design of the feedback loops of an Exothermic Continuous Stirred Tank Reactor system. The objective of design process is to find an optimal structure/gains of the Robust and Optimal Takagi Sugeno Fuzzy Controller (ROFLC. The control signal thus obtained will minimize a performance index, which is a function of the tracking/regulating errors, the quantity of the energy of the control signal applied to the system, and the number of fuzzy rules. The genetic learning is proposed for constructing the ROFLC. The chromosome genes are arranged into two parts, the binary-coded part contains the control genes and the real-coded part contains the genes parameters representing the fuzzy knowledge base. The effectiveness of this chromosome formulation enables the fuzzy sets and rules to be optimally reduced. The performances of the ROFLC are compared to these found by the traditional PD controller with Genetic Optimization (PD_GO. Simulations demonstrate that the proposed ROFLC and PD_GO has successfully met the design specifications.
Optimal control of radiator systems; Optimal reglering av radiatorsystem
Energy Technology Data Exchange (ETDEWEB)
Wollerstrand, J.; Ljunggren, P.; Johansson, P.O.
2007-07-01
This report presents results from a study aiming to considerably improve the development towards minimizing the primary return temperature from a district heating (DH) substation by optimizing the control algorithm for the space heating system. The investigation of this research field started about 20 years ago in Sweden when low flow operation of space heating systems was introduced. Following a couple of years of partly confused discussions, the method was accepted by many, but was rejected by others. Our thesis is that further improvement of cooling of DH water is possible when advanced, but robust, control algorithms are used for the space heating system. A space heating system is traditionally designed for a specific constant circulation flow combined with a suitable control curve for the space heating supply temperature as a function of the outdoor temperature. Optimal choice of the control curve varies from case to case and is an issue both we and others have dealt with in previous work. A large step was to derive theoretical control curves for optimal control of the space heating system, with an analysis of how temperature and circulation flow varies with heat load. The estimated gain varies strongly depending on the conditions, however, with realistic conditions it can be as much as 5 deg C decreased DH return temperature on yearly average. To be able to work properly under varying physical circumstances, a control algorithm must be able to combine variation of space heating supply temperature and circulation flow as a function of the heat load. By regulating the rotation speed of the circulation pump this can be achieved. Such regulation can be adjusted for each and every building by regulating a few parameters in a regulator. The results from this work are, that important theoretical knowledge has been completed, to show results systematically and to find support from practical experiments. A hands-on description of the method for optimizing DH water
Optimal Inventory Control with Advance Supply Information
Marko Jaksic; Matej Marinc
2016-01-01
It has been shown in numerous situations that sharing information between the companies leads to improved performance of the supply chain. We study a positive lead time periodic-review inventory system of a retailer facing stochastic demand from his customer and stochastic limited supply capacity of the manufacturer supplying the products to him. The consequence of stochastic supply capacity is that the orders might not be delivered in full, and the exact size of the replenishment might not b...
Zalys-Geller, E.; Hatridge, M.; Silveri, M.; Narla, A.; Sliwa, K. M.; Shankar, S.; Girvin, S. M.; Devoret, M. H.
2015-03-01
Remote entanglement of two superconducting qubits may be accomplished by first entangling them with flying coherent microwave pulses, and then erasing the which-path information of these pulses by using a non-degenerate parametric amplifier such as the Josephson Parametric Converter (JPC). Crucially, this process requires no direct interaction between the two qubits. The JPC, however, will fail to completely erase the which-path information if the flying microwave pulses encode any difference in dynamics of the two qubit-cavity systems. This which-path information can easily arise from mismatches in the cavity linewidths and the cavity dispersive shifts from their respective qubits. Through analysis of the Stochastic Master Equation for this system, we have found a strategy for shaping the measurement pulses to eliminate the effect of these mismatches on the entangling measurement. We have then confirmed the effectiveness of this strategy by numerical simulation. Work supported by: IARPA, ARO, and NSF.
Optimal insider control and semimartingale decompositions under enlargement of filtration
Øksendal, Bernt; Draouil, Olfa
2015-01-01
We combine stochastic control methods, white noise analysis, and Hida–Malliavin calculus applied to the Donsker delta functional to obtain explicit representations of semimartingale decompositions under enlargement of filtrations. Some of the expressions are more explicit than previously known. The results are illustrated by examples. This is the Author’s Original Manuscript of an article published by Taylor & Francis in Stochastic Analysis and Applications on 01 Sep 2016, available onlin...
Oizumi, Ryo; Kuniya, Toshikazu; Enatsu, Yoichi
2016-01-01
Despite the fact that density effects and individual differences in life history are considered to be important for evolution, these factors lead to several difficulties in understanding the evolution of life history, especially when population sizes reach the carrying capacity. r/K selection theory explains what types of life strategies evolve in the presence of density effects and individual differences. However, the relationship between the life schedules of individuals and population size is still unclear, even if the theory can classify life strategies appropriately. To address this issue, we propose a few equations on adaptive life strategies in r/K selection where density effects are absent or present. The equations detail not only the adaptive life history but also the population dynamics. Furthermore, the equations can incorporate temporal individual differences, which are referred to as internal stochasticity. Our framework reveals that maximizing density effects is an evolutionarily stable strategy related to the carrying capacity. A significant consequence of our analysis is that adaptive strategies in both selections maximize an identical function, providing both population growth rate and carrying capacity. We apply our method to an optimal foraging problem in a semelparous species model and demonstrate that the adaptive strategy yields a lower intrinsic growth rate as well as a lower basic reproductive number than those obtained with other strategies. This study proposes that the diversity of life strategies arises due to the effects of density and internal stochasticity.
Misol, Malte; Haase, Thomas; Monner, Hans Peter; Sinapius, Michael
2014-10-01
This paper provides experimental results of an aircraft-relevant double panel structure mounted in a sound transmission loss facility. The primary structure of the double panel system is excited either by a stochastic point force or by a diffuse sound field synthesized in the reverberation room of the transmission loss facility. The secondary structure, which is connected to the frames of the primary structure, is augmented by actuators and sensors implementing an active feedforward control system. Special emphasis is placed on the causality of the active feedforward control system and its implications on the disturbance rejection at the error sensors. The coherence of the sensor signals is analyzed for the two different disturbance excitations. Experimental results are presented regarding the causality, coherence, and disturbance rejection of the active feedforward control system. Furthermore, the sound transmission loss of the double panel system is evaluated for different configurations of the active system. A principal result of this work is the evidence that it is possible to strongly influence the transmission of stochastic disturbance sources through double panel configurations by means of an active feedforward control system.
Cyclic Control Optimization for a Smart Rotor
DEFF Research Database (Denmark)
Bergami, Leonardo; Henriksen, Lars Christian
2012-01-01
bending moment within a rotor revolution. The method is applied to a rotor equipped with trailing edge flaps, and capable of individual blade pitching. Results show that the optimized cyclic control significantly alleviates the load variations from periodic disturbances; the combination of both cyclic......The paper presents a method to determine cyclic control trajectories for a smart rotor undergoing periodic-deterministic load variations. The control trajectories result from a constrained optimization problem, where the cost function to minimize is given by the variation of the blade root flapwise...... flap and pitch allows to reduce the action (and hence the wear) on the pitch actuators, and still to achieve considerable load alleviation....
Algorithm For Optimal Control Of Large Structures
Salama, Moktar A.; Garba, John A..; Utku, Senol
1989-01-01
Cost of computation appears competitive with other methods. Problem to compute optimal control of forced response of structure with n degrees of freedom identified in terms of smaller number, r, of vibrational modes. Article begins with Hamilton-Jacobi formulation of mechanics and use of quadratic cost functional. Complexity reduced by alternative approach in which quadratic cost functional expressed in terms of control variables only. Leads to iterative solution of second-order time-integral matrix Volterra equation of second kind containing optimal control vector. Cost of algorithm, measured in terms of number of computations required, is of order of, or less than, cost of prior algoritms applied to similar problems.
An example in linear quadratic optimal control
Weiss, George; Zwart, Heiko J.
1998-01-01
We construct a simple example of a quadratic optimal control problem for an infinite-dimensional linear system based on a shift semigroup. This system has an unbounded control operator. The cost is quadratic in the input and the state, and the weighting operators are bounded. Despite its extreme
Multiobjective Optimization of PID Controller of PMSM
Directory of Open Access Journals (Sweden)
Qingyang Xu
2014-01-01
Full Text Available PID controller is used in most of the current-speed closed-loop control of permanent magnet synchronous motors (PMSM servo system. However, Kp, Ki, and Kd of PID are difficult to tune due to the multiple objectives. In order to obtain the optimal PID parameters, we adopt a NSGA-II to optimize the PID parameters in this paper. According to the practical requirement, several objective functions are defined. NSGA-II can search the optimal parameters according to the objective functions with better robustness. This approach provides a more theoretical basis for the optimization of PID parameters than the aggregation function method. The simulation results indicate that the system is valid, and the NSGA-II can obtain the Pareto front of PID parameters.
DEFF Research Database (Denmark)
Sousa, Tiago; Ghazvini, Mohammad Ali Fotouhi; Morais, Hugo
2015-01-01
The integration of renewable sources and electric vehicles will introduce new uncertainties to the optimal resource scheduling, namely at the distribution level. These uncertainties are mainly originated by the power generated by renewables sources and by the electric vehicles charge requirements....... This paper proposes a two-state stochastic programming approach to solve the day-ahead optimal resource scheduling problem. The case study considers a 33-bus distribution network with 66 distributed generation units and 1000 electric vehicles....
Interference of fractals - a method to control the deterministic stochastic multiresonance
Matyjaskiewicz, Slawomir
2007-03-01
We present a new method to control the deterministic stochastic multiresonance in dynamical systems, which can be considered as a threshold-crossing systems, in the vicinity of chaotic crises. As an example we choose a two-dimensional chaotic map, where the threshold-crossing probability follows the overlap of the fractal structures of chaotic saddles and the basins of escape. Using a small periodic perturbation we induce interference like behaviour in fractal structure leading to significant changes of the information transmission through the system. The analytical theory based on topological model is in a reasonable agreement with the numerical results for mutual information between the input and output signal.
Kall, Peter
1998-01-01
Optimization problems arising in practice usually contain several random parameters. Hence, in order to obtain optimal solutions being robust with respect to random parameter variations, the mostly available statistical information about the random parameters should be considered already at the planning phase. The original problem with random parameters must be replaced by an appropriate deterministic substitute problem, and efficient numerical solution or approximation techniques have to be developed for those problems. This proceedings volume contains a selection of papers on modelling techniques, approximation methods, numerical solution procedures for stochastic optimization problems and applications to the reliability-based optimization of concrete technical or economic systems.
Design and analysis of stochastic DSS query optimizers in a distributed database system
National Research Council Canada - National Science Library
Sharma, Manik; Singh, Gurvinder; Singh, Rajinder
2016-01-01
Query optimization is a stimulating task of any database system. A number of heuristics have been applied in recent times, which proposed new algorithms for substantially improving the performance of a query...
Umut Caglar, Mehmet; Pal, Ranadip
2010-10-01
The central dogma of molecular biology states that ``information cannot be transferred back from protein to either protein or nucleic acid.'' However, this assumption is not exactly correct in most of the cases. There are a lot of feedback loops and interactions between different levels of systems. These types of interactions are hard to analyze due to the lack of data in the cellular level and probabilistic nature of interactions. Probabilistic models like Stochastic Master Equation (SME) or deterministic models like differential equations (DE) can be used to analyze these types of interactions. SME models based on chemical master equation (CME) can provide detailed representation of genetic regulatory system, but their use is restricted by the large data requirements and computational costs of calculations. The differential equations models on the other hand, have low calculation costs and much more adequate to generate control procedures on the system; but they are not adequate to investigate the probabilistic nature of interactions. In this work the success of the mapping between SME and DE is analyzed, and the success of a control policy generated by DE model with respect to SME model is examined. Index Terms--- Stochastic Master Equation models, Differential Equation Models, Control Policy Design, Systems biology
Directory of Open Access Journals (Sweden)
Giacomo Veneri
2014-01-01
Full Text Available Attention allows us to selectively process the vast amount of information with which we are confronted, prioritizing some aspects of information and ignoring others by focusing on a certain location or aspect of the visual scene. Selective attention is guided by two cognitive mechanisms: saliency of the image (bottom up and endogenous mechanisms (top down. These two mechanisms interact to direct attention and plan eye movements; then, the movement profile is sent to the motor system, which must constantly update the command needed to produce the desired eye movement. A new approach is described here to study how the eye motor control could influence this selection mechanism in clinical behavior: two groups of patients (SCA2 and late onset cerebellar ataxia LOCA with well-known problems of motor control were studied; patients performed a cognitively demanding task; the results were compared to a stochastic model based on Monte Carlo simulations and a group of healthy subjects. The analytical procedure evaluated some energy functions for understanding the process. The implemented model suggested that patients performed an optimal visual search, reducing intrinsic noise sources. Our findings theorize a strict correlation between the “optimal motor system” and the “optimal stimulus encoders.”
2016 Network Games, Control, and Optimization Conference
Jimenez, Tania; Solan, Eilon
2017-01-01
This contributed volume offers a collection of papers presented at the 2016 Network Games, Control, and Optimization conference (NETGCOOP), held at the University of Avignon in France, November 23-25, 2016. These papers highlight the increasing importance of network control and optimization in many networking application domains, such as mobile and fixed access networks, computer networks, social networks, transportation networks, and, more recently, electricity grids and biological networks. Covering a wide variety of both theoretical and applied topics in the areas listed above, the authors explore several conceptual and algorithmic tools that are needed for efficient and robust control operation, performance optimization, and better understanding the relationships between entities that may be acting cooperatively or selfishly in uncertain and possibly adversarial environments. As such, this volume will be of interest to applied mathematicians, computer scientists, engineers, and researchers in other relate...
Optimal control applications in electric power systems
Christensen, G S; Soliman, S A
1987-01-01
Significant advances in the field of optimal control have been made over the past few decades. These advances have been well documented in numerous fine publications, and have motivated a number of innovations in electric power system engineering, but they have not yet been collected in book form. Our purpose in writing this book is to provide a description of some of the applications of optimal control techniques to practical power system problems. The book is designed for advanced undergraduate courses in electric power systems, as well as graduate courses in electrical engineering, applied mathematics, and industrial engineering. It is also intended as a self-study aid for practicing personnel involved in the planning and operation of electric power systems for utilities, manufacturers, and consulting and government regulatory agencies. The book consists of seven chapters. It begins with an introductory chapter that briefly reviews the history of optimal control and its power system applications and also p...
Yu, Lianchun; Liu, Liwei
2014-03-01
The generation and conduction of action potentials (APs) represents a fundamental means of communication in the nervous system and is a metabolically expensive process. In this paper, we investigate the energy efficiency of neural systems in transferring pulse signals with APs. By analytically solving a bistable neuron model that mimics the AP generation with a particle crossing the barrier of a double well, we find the optimal number of ion channels that maximizes the energy efficiency of a neuron. We also investigate the energy efficiency of a neuron population in which the input pulse signals are represented with synchronized spikes and read out with a downstream coincidence detector neuron. We find an optimal number of neurons in neuron population, as well as the number of ion channels in each neuron that maximizes the energy efficiency. The energy efficiency also depends on the characters of the input signals, e.g., the pulse strength and the interpulse intervals. These results are confirmed by computer simulation of the stochastic Hodgkin-Huxley model with a detailed description of the ion channel random gating. We argue that the tradeoff between signal transmission reliability and energy cost may influence the size of the neural systems when energy use is constrained.
Bastian, Nathaniel D; Ekin, Tahir; Kang, Hyojung; Griffin, Paul M; Fulton, Lawrence V; Grannan, Benjamin C
2017-06-01
The management of hospitals within fixed-input health systems such as the U.S. Military Health System (MHS) can be challenging due to the large number of hospitals, as well as the uncertainty in input resources and achievable outputs. This paper introduces a stochastic multi-objective auto-optimization model (SMAOM) for resource allocation decision-making in fixed-input health systems. The model can automatically identify where to re-allocate system input resources at the hospital level in order to optimize overall system performance, while considering uncertainty in the model parameters. The model is applied to 128 hospitals in the three services (Air Force, Army, and Navy) in the MHS using hospital-level data from 2009 - 2013. The results are compared to the traditional input-oriented variable returns-to-scale Data Envelopment Analysis (DEA) model. The application of SMAOM to the MHS increases the expected system-wide technical efficiency by 18 % over the DEA model while also accounting for uncertainty of health system inputs and outputs. The developed method is useful for decision-makers in the Defense Health Agency (DHA), who have a strategic level objective of integrating clinical and business processes through better sharing of resources across the MHS and through system-wide standardization across the services. It is also less sensitive to data outliers or sampling errors than traditional DEA methods.
Stochastic optimization of GeantV code by use of genetic algorithms
Amadio, G.; Apostolakis, J.; Bandieramonte, M.; Behera, S. P.; Brun, R.; Canal, P.; Carminati, F.; Cosmo, G.; Duhem, L.; Elvira, D.; Folger, G.; Gheata, A.; Gheata, M.; Goulas, I.; Hariri, F.; Jun, S. Y.; Konstantinov, D.; Kumawat, H.; Ivantchenko, V.; Lima, G.; Nikitina, T.; Novak, M.; Pokorski, W.; Ribon, A.; Seghal, R.; Shadura, O.; Vallecorsa, S.; Wenzel, S.
2017-10-01
GeantV is a complex system based on the interaction of different modules needed for detector simulation, which include transport of particles in fields, physics models simulating their interactions with matter and a geometrical modeler library for describing the detector and locating the particles and computing the path length to the current volume boundary. The GeantV project is recasting the classical simulation approach to get maximum benefit from SIMD/MIMD computational architectures and highly massive parallel systems. This involves finding the appropriate balance between several aspects influencing computational performance (floating-point performance, usage of off-chip memory bandwidth, specification of cache hierarchy, etc.) and handling a large number of program parameters that have to be optimized to achieve the best simulation throughput. This optimization task can be treated as a black-box optimization problem, which requires searching the optimum set of parameters using only point-wise function evaluations. The goal of this study is to provide a mechanism for optimizing complex systems (high energy physics particle transport simulations) with the help of genetic algorithms and evolution strategies as tuning procedures for massive parallel simulations. One of the described approaches is based on introducing a specific multivariate analysis operator that could be used in case of resource expensive or time consuming evaluations of fitness functions, in order to speed-up the convergence of the black-box optimization problem.
Directory of Open Access Journals (Sweden)
Guillermo Cabrera
2013-01-01
Full Text Available We solve a novel inventory-location model with a stochastic capacity constraint based on a periodic inventory control (ILM-PR policy. The ILM-PR policy implies several changes with regard to other previous models proposed in the literature, which consider continuous review as their inventory policy. One of these changes is the inclusion of the undershoot concept, which has not been considered in previous ILM models in the literature. Based on our model, we are able to design a distribution network for a two-level supply chain, addressing both warehouse location and customer assignment decisions, whilst taking into consideration several aspects of inventory planning, in particular, evaluating the impact of the inventory control review period on the network configuration and system costs. Because the model is a very hard-to solve combinatorial nonlinear optimisation problem, we implemented two heuristics to solve it, namely, Tabu Search and Particle Swarm Optimisation. These approaches were tested over small instances in which they were able to find the optimal solution in just a few seconds. Because the model is a new one, a set of medium-size instances is provided that can be useful as a benchmark in future research. The heuristics showed a good convergence rate when applied to those instances. The results confirm that decision making over the inventory control policy has effects on the distribution network design.
Economic consequences of paratuberculosis control in dairy cattle: A stochastic modeling study.
Smith, R L; Al-Mamun, M A; Gröhn, Y T
2017-03-01
The cost of paratuberculosis to dairy herds, through decreased milk production, early culling, and poor reproductive performance, has been well-studied. The benefit of control programs, however, has been debated. A recent stochastic compartmental model for paratuberculosis transmission in US dairy herds was modified to predict herd net present value (NPV) over 25 years in herds of 100 and 1000 dairy cattle with endemic paratuberculosis at initial prevalence of 10% and 20%. Control programs were designed by combining 5 tests (none, fecal culture, ELISA, PCR, or calf testing), 3 test-related culling strategies (all test-positive, high-positive, or repeated positive), 2 test frequencies (annual and biannual), 3 hygiene levels (standard, moderate, or improved), and 2 cessation decisions (testing ceased after 5 negative whole-herd tests or testing continued). Stochastic dominance was determined for each herd scenario; no control program was fully dominant for maximizing herd NPV in any scenario. Use of the ELISA test was generally preferred in all scenarios, but no paratuberculosis control was highly preferred for the small herd with 10% initial prevalence and was frequently preferred in other herd scenarios. Based on their effect on paratuberculosis alone, hygiene improvements were not found to be as cost-effective as test-and-cull strategies in most circumstances. Global sensitivity analysis found that economic parameters, such as the price of milk, had more influence on NPV than control program-related parameters. We conclude that paratuberculosis control can be cost effective, and multiple control programs can be applied for equivalent economic results. Copyright © 2017 Elsevier B.V. All rights reserved.
Optimal temperature control for batch beer fermentation.
Gee, D A; Ramirez, W F
1988-02-20
Optimal control theory was applied to the process of batch beer fermentation. The performance functional considered was a weighted sum of maximum ethanol production and minimum time. Calculations were based on the model of Engasser et al. modified to include temperature effects. Model parameters were determined from isothermal batch fermentations. The fermentor cooling duty was the single available control. Temperature state variable constraints as well as control variable constraints were considered. The optimal control law is shown to be bang-bang control with the existence of a singular arc corresponding to isothermal operation at the maximum temperature constraint. An iterative algorithm is presented for computing appropriate switching times using a penalty-function-augmented performance functional.
Optimization of observation plan based on the stochastic characteristics of the geodetic network
Directory of Open Access Journals (Sweden)
Pachelski Wojciech
2016-06-01
Full Text Available Optimal design of geodetic network is a basic subject of many engineering projects. An observation plan is a concluding part of the process. Any particular observation within the network has through adjustment a different contribution and impact on values and accuracy characteristics of unknowns. The problem of optimal design can be solved by means of computer simulation. This paper presents a new method of simulation based on sequential estimation of individual observations in a step-by-step manner, by means of the so-called filtering equations. The algorithm aims at satisfying different criteria of accuracy according to various interpretations of the covariance matrix. Apart of them, the optimization criterion is also amount of effort, defined as the minimum number of observations required.
Robust stochastic maximum principle: Complete proof and discussions
Directory of Open Access Journals (Sweden)
Poznyak Alex S.
2002-01-01
Full Text Available This paper develops a version of Robust Stochastic Maximum Principle (RSMP applied to the Minimax Mayer Problem formulated for stochastic differential equations with the control-dependent diffusion term. The parametric families of first and second order adjoint stochastic processes are introduced to construct the corresponding Hamiltonian formalism. The Hamiltonian function used for the construction of the robust optimal control is shown to be equal to the Lebesque integral over a parametric set of the standard stochastic Hamiltonians corresponding to a fixed value of the uncertain parameter. The paper deals with a cost function given at finite horizon and containing the mathematical expectation of a terminal term. A terminal condition, covered by a vector function, is also considered. The optimal control strategies, adapted for available information, for the wide class of uncertain systems given by an stochastic differential equation with unknown parameters from a given compact set, are constructed. This problem belongs to the class of minimax stochastic optimization problems. The proof is based on the recent results obtained for Minimax Mayer Problem with a finite uncertainty set [14,43-45] as well as on the variation results of [53] derived for Stochastic Maximum Principle for nonlinear stochastic systems under complete information. The corresponding discussion of the obtain results concludes this study.
Optimal control application to an Ebola model
Directory of Open Access Journals (Sweden)
Ebenezer Bonyah
2016-04-01
Full Text Available Ebola virus is a severe, frequently fatal illness, with a case fatality rate up to 90%. The outbreak of the disease has been acknowledged by World Health Organization as Public Health Emergency of International Concern. The threat of Ebola in West Africa is still a major setback to the socioeconomic development. Optimal control theory is applied to a system of ordinary differential equations which is modeling Ebola infection through three different routes including contact between humans and a dead body. In an attempt to reduce infection in susceptible population, a preventive control is put in the form of education and campaign and two treatment controls are applied to infected and late-stage infected (super human population. The Pontryagins maximum principle is employed to characterize optimality control, which is then solved numerically. It is observed that time optimal control is existed in the model. The activation of each control showed a positive reduction of infection. The overall effect of activation of all the controls simultaneously reduced the effort required for the reduction of the infection quickly. The obtained results present a good framework for planning and designing cost-effective strategies for good interventions in dealing with Ebola disease. It is established that in order to reduce Ebola threat all the three controls must be taken into consideration concurrently.
Multivalued stochastic delay differential equations and related ...
African Journals Online (AJOL)
Also X is constrained with the help of a bounded variation feedback law K to stay in the convex set Dom(φ). Afterwards we consider optimal control problems where the state X is a solution of a controlled delay stochastic system as above. We establish the dynamic programming principle for the value function and nally we ...
Optimal control with multiple human papillomavirus vaccines.
Malik, Tufail; Imran, Mudassar; Jayaraman, Raja
2016-03-21
A two-sex, deterministic ordinary differential equations model for human papillomavirus (HPV) is constructed and analyzed for optimal control strategies in a vaccination program administering three types of vaccines in the female population: a bivalent vaccine that targets two HPV types and provides longer duration of protection and cross-protection against some non-target types, a quadrivalent vaccine which targets an additional two HPV types, and a nonavalent vaccine which targets nine HPV types (including those covered by the quadrivalent vaccine), but with lesser type-specific efficacy. Considering constant vaccination controls, the disease-free equilibrium and the effective reproduction number Rv for the autonomous model are computed in terms of the model parameters. Local-asymptotic stability of the disease-free equilibrium is established in terms of Rv. Uncertainty and Sensitivity analyses are carried out to study the influence of various important model parameters on the HPV infection prevalence. Assuming the HPV infection prevalence in the population under the constant control, optimal control theory is used to devise optimal vaccination strategies for the associated non-autonomous model when the vaccination rates are functions of time. The impact of these strategies on the number of infected individuals and the accumulated cost is assessed and compared with the constant control case. Switch times from one vaccine combination to a different combination including the nonavalent vaccine are assessed during an optimally designed HPV immunization program. Copyright © 2016 Elsevier Ltd. All rights reserved.
Directory of Open Access Journals (Sweden)
Haishan Deng
2014-01-01
Full Text Available Simultaneous determination of multiple weak chromatographic peaks via stochastic resonance algorithm attracts much attention in recent years. However, the optimization of the parameters is complicated and time consuming, although the single-well potential stochastic resonance algorithm (SSRA has already reduced the number of parameters to only one and simplified the process significantly. Even worse, it is often difficult to keep amplified peaks with beautiful peak shape. Therefore, multiobjective genetic algorithm was employed to optimize the parameter of SSRA for multiple optimization objectives (i.e., S/N and peak shape and multiple chromatographic peaks. The applicability of the proposed method was evaluated with an experimental data set of Sudan dyes, and the results showed an excellent quantitative relationship between different concentrations and responses.
Deng, Haishan; Xie, Shaofei; Xiang, Bingren; Zhan, Ying; Li, Wei; Li, Xiaohua; Jiang, Caiyun; Wu, Xiaohong; Liu, Dan
2014-01-01
Simultaneous determination of multiple weak chromatographic peaks via stochastic resonance algorithm attracts much attention in recent years. However, the optimization of the parameters is complicated and time consuming, although the single-well potential stochastic resonance algorithm (SSRA) has already reduced the number of parameters to only one and simplified the process significantly. Even worse, it is often difficult to keep amplified peaks with beautiful peak shape. Therefore, multiobjective genetic algorithm was employed to optimize the parameter of SSRA for multiple optimization objectives (i.e., S/N and peak shape) and multiple chromatographic peaks. The applicability of the proposed method was evaluated with an experimental data set of Sudan dyes, and the results showed an excellent quantitative relationship between different concentrations and responses.
P.A.N. Bosman (Peter); J.A. La Poutré (Han)
2007-01-01
htmlabstractInventory management (IM) is an important area in logistics. The goal is to manage the inventory of a vendor as efficiently as possible. Its practical relevance also makes it an important real-world application for research in optimization. Because inventory must be managed over time, IM
Energy Technology Data Exchange (ETDEWEB)
Cho, Su Gil; Jang, Jun Yong; Kim, Ji Hoon; Lee, Tae Hee [Hanyang University, Seoul (Korea, Republic of); Lee, Min Uk [Romax Technology Ltd., Seoul (Korea, Republic of); Choi, Jong Su; Hong, Sup [Korea Research Institute of Ships and Ocean Engineering, Daejeon (Korea, Republic of)
2015-04-15
Sequential surrogate model-based global optimization algorithms, such as super-EGO, have been developed to increase the efficiency of commonly used global optimization technique as well as to ensure the accuracy of optimization. However, earlier studies have drawbacks because there are three phases in the optimization loop and empirical parameters. We propose a united sampling criterion to simplify the algorithm and to achieve the global optimum of problems with constraints without any empirical parameters. It is able to select the points located in a feasible region with high model uncertainty as well as the points along the boundary of constraint at the lowest objective value. The mean squared error determines which criterion is more dominant among the infill sampling criterion and boundary sampling criterion. Also, the method guarantees the accuracy of the surrogate model because the sample points are not located within extremely small regions like super-EGO. The performance of the proposed method, such as the solvability of a problem, convergence properties, and efficiency, are validated through nonlinear numerical examples with disconnected feasible regions.
The Orienteering Problem under Uncertainty Stochastic Programming and Robust Optimization compared
Evers, L.; Glorie, K.; Ster, S. van der; Barros, A.I.; Monsuur, H.
2012-01-01
The Orienteering Problem (OP) is a generalization of the well-known traveling salesman problem and has many interesting applications in logistics, tourism and defense. To reflect real-life situations, we focus on an uncertain variant of the OP. Two main approaches that deal with optimization under
Applied probability and stochastic processes
Sumita, Ushio
1999-01-01
Applied Probability and Stochastic Processes is an edited work written in honor of Julien Keilson. This volume has attracted a host of scholars in applied probability, who have made major contributions to the field, and have written survey and state-of-the-art papers on a variety of applied probability topics, including, but not limited to: perturbation method, time reversible Markov chains, Poisson processes, Brownian techniques, Bayesian probability, optimal quality control, Markov decision processes, random matrices, queueing theory and a variety of applications of stochastic processes. The book has a mixture of theoretical, algorithmic, and application chapters providing examples of the cutting-edge work that Professor Keilson has done or influenced over the course of his highly-productive and energetic career in applied probability and stochastic processes. The book will be of interest to academic researchers, students, and industrial practitioners who seek to use the mathematics of applied probability i...
Efficient evolutionary algorithms for optimal control
López Cruz, I.L.
2002-01-01
If optimal control problems are solved by means of gradient based local search methods, convergence to local solutions is likely. Recently, there has been an increasing interest in the use
Optimal control design for a solar greenhouse
Ooteghem, van R.J.C.
2007-01-01
The research of this thesis was part of a larger project aiming at the design of a greenhouse and an associated climate control that achieves optimal crop production with sustainable instead of fossil energy. This so called solar greenhouse design extends a conventional greenhouse with an improved
Automatic Synthesis of Robust and Optimal Controllers
DEFF Research Database (Denmark)
Cassez, Franck; Jessen, Jan Jacob; Larsen, Kim Guldstrand
2009-01-01
In this paper, we show how to apply recent tools for the automatic synthesis of robust and near-optimal controllers for a real industrial case study. We show how to use three different classes of models and their supporting existing tools, Uppaal-TiGA for synthesis, phaver for verification...
Optimally Controlled Flexible Fuel Powertrain System
Energy Technology Data Exchange (ETDEWEB)
Hakan Yilmaz; Mark Christie; Anna Stefanopoulou
2010-12-31
The primary objective of this project was to develop a true Flex Fuel Vehicle capable of running on any blend of ethanol from 0 to 85% with reduced penalty in usable vehicle range. A research and development program, targeting 10% improvement in fuel economy using a direct injection (DI) turbocharged spark ignition engine was conducted. In this project a gasoline-optimized high-technology engine was considered and the hardware and configuration modifications were defined for the engine, fueling system, and air path. Combined with a novel engine control strategy, control software, and calibration this resulted in a highly efficient and clean FFV concept. It was also intended to develop robust detection schemes of the ethanol content in the fuel integrated with adaptive control algorithms for optimized turbocharged direct injection engine combustion. The approach relies heavily on software-based adaptation and optimization striving for minimal modifications to the gasoline-optimized engine hardware system. Our ultimate objective was to develop a compact control methodology that takes advantage of any ethanol-based fuel mixture and not compromise the engine performance under gasoline operation.
Augmented Lagrangian Method For Discretized Optimal Control ...
African Journals Online (AJOL)
In this paper, we are concerned with one-dimensional time invariant optimal control problem, whose objective function is quadratic and the dynamical system is a differential equation with initial condition .Since most real life problems are nonlinear and their analytical solutions are not readily available, we resolve to ...
Optimal control of Rydberg lattice gases
DEFF Research Database (Denmark)
Cui, Jian; Bijnen, Rick van; Pohl, Thomas
2017-01-01
We present optimal control protocols to prepare different many-body quantum states of Rydberg atoms in optical lattices. Specifically, we show how to prepare highly ordered many-body ground states, GHZ states as well as some superposition of symmetric excitation number Fock states, that inherit...
Optimal control solutions to sodic soil reclamation
Mau, Yair; Porporato, Amilcare
2016-05-01
We study the reclamation process of a sodic soil by irrigation with water amended with calcium cations. In order to explore the entire range of time-dependent strategies, this task is framed as an optimal control problem, where the amendment rate is the control and the total rehabilitation time is the quantity to be minimized. We use a minimalist model of vertically averaged soil salinity and sodicity, in which the main feedback controlling the dynamics is the nonlinear coupling of soil water and exchange complex, given by the Gapon equation. We show that the optimal solution is a bang-bang control strategy, where the amendment rate is discontinuously switched along the process from a maximum value to zero. The solution enables a reduction in remediation time of about 50%, compared with the continuous use of good-quality irrigation water. Because of its general structure, the bang-bang solution is also shown to work for the reclamation of other soil conditions, such as saline-sodic soils. The novelty in our modeling approach is the capability of searching the entire "strategy space" for optimal time-dependent protocols. The optimal solutions found for the minimalist model can be then fine-tuned by experiments and numerical simulations, applicable to realistic conditions that include spatial variability and heterogeneities.
Optimization and Development of Swellable Controlled Porosity ...
African Journals Online (AJOL)
Purpose: To develop swellable controlled porosity osmotic pump tablet of theophylline and to define the formulation and process variables responsible for drug release by applying statistical optimization technique. Methods: Formulations were prepared based on Taguchi Orthogonal Array design and Fraction Factorial ...
Optimal control tuning of a redundant robot
Jaulin, Luc
2012-01-01
International audience; A robot can generally be described by a vector first-order differential equation, named state equations. A robot is said to be redundant if it has more actuators than necessary. In this case, the number of inputs is higher than the number of outputs (variables to be controlled) and there exists many different ways to achieve the control requirements. We can thus take advantage of the extra number of freedom degrees in order to optimize some performance criterion (invol...
Optimization-based controller design for rotorcraft
Tsing, N.-K.; Fan, M. K. H.; Barlow, J.; Tits, A. L.; Tischler, M. B.
1993-01-01
An optimization-based methodology for linear control system design is outlined by considering the design of a controller for a UH-60 rotorcraft in hover. A wide range of design specifications is taken into account: internal stability, decoupling between longitudinal and lateral motions, handling qualities, and rejection of windgusts. These specifications are investigated while taking into account physical limitations in the swashplate displacements and rates of displacement. The methodology crucially relies on user-machine interaction for tradeoff exploration.
Optimal control of electrodynamic tether satellites
Stevens, Robert E.
Low thrust propulsion systems offer a fuel-efficient means to maneuver satellites to new orbits, however they can only perform such maneuvers when they are continuously operated for a long time. Such long-term maneuvers occur over many orbital revolutions often rendering short time scale trajectory optimization methods ineffective. An approach to multirevolution, long time scale optimal control of an electrodynamic tether is investigated for a tethered satellite system in Low Earth Orbit with atmospheric drag. Control is assumed to be periodic over several orbits since under the assumptions of a nearly circular orbit, periodic control yields the only solution that significantly contributes to secular changes in the orbital parameters. The optimal control problem is constructed in such a way as to maneuver the satellite to a new orbit while minimizing a cost function subject to the constraints of the time-averaged equations of motion by controlling current in the tether. To accurately capture the tether orbital dynamics, libration is modeled and controlled over long time scales in a similar manner to the orbital states. Libration is addressed in two parts; equilibrium and stability analysis, and control. Libration equations of motion are derived and analyzed to provide equilibrium and stability criteria that define the constraints of the design. A new libration mean square state is introduced and constrained to maintain libration within an acceptable envelope throughout a given maneuver. Optimal control solutions are achieved using a pseudospectral method that maneuver an electrodynamic tether to new orbits over long time scales while managing librational motion using only current in a wire.
Sharmin, Saima; Shim, Yong; Roy, Kaushik
2017-09-12
Solving combinatorial optimization problems is challenging. Mapping onto the ground-state search problem of the Ising Hamiltonian is a promising approach in this field, where the components of the optimization set are modeled as artificial spin units. The search for a suitable physical system to realize these spin units is an active area of research. In this work, we have demonstrated a scheme to model the Ising Hamiltonian with multiferroic oxide/nanomagnet units. Although nanomagnet-based implementation has been shown before, we have utilized the magnetoelectric effect of the multiferroics to make voltagecontrolled spin units with less current flow in the network. Moreover, we have proposed a unique approach of configuring the coupling network of the system directly from the Ising Hamiltonian of a traveling salesman problem (TSP). We have developed a coupled micromagnetic simulation framework and solved TSPs of size 26-city and 15-city with an accuracy of 100% for the latter.
Optimizing Real-Time Vaccine Allocation in a Stochastic SIR Model.
Directory of Open Access Journals (Sweden)
Chantal Nguyen
Full Text Available Real-time vaccination following an outbreak can effectively mitigate the damage caused by an infectious disease. However, in many cases, available resources are insufficient to vaccinate the entire at-risk population, logistics result in delayed vaccine deployment, and the interaction between members of different cities facilitates a wide spatial spread of infection. Limited vaccine, time delays, and interaction (or coupling of cities lead to tradeoffs that impact the overall magnitude of the epidemic. These tradeoffs mandate investigation of optimal strategies that minimize the severity of the epidemic by prioritizing allocation of vaccine to specific subpopulations. We use an SIR model to describe the disease dynamics of an epidemic which breaks out in one city and spreads to another. We solve a master equation to determine the resulting probability distribution of the final epidemic size. We then identify tradeoffs between vaccine, time delay, and coupling, and we determine the optimal vaccination protocols resulting from these tradeoffs.
Distribution-Agnostic Stochastic Optimal Power Flow for Distribution Grids: Preprint
Energy Technology Data Exchange (ETDEWEB)
Baker, Kyri; Dall' Anese, Emiliano; Summers, Tyler
2016-09-01
This paper outlines a data-driven, distributionally robust approach to solve chance-constrained AC optimal power flow problems in distribution networks. Uncertain forecasts for loads and power generated by photovoltaic (PV) systems are considered, with the goal of minimizing PV curtailment while meeting power flow and voltage regulation constraints. A data- driven approach is utilized to develop a distributionally robust conservative convex approximation of the chance-constraints; particularly, the mean and covariance matrix of the forecast errors are updated online, and leveraged to enforce voltage regulation with predetermined probability via Chebyshev-based bounds. By combining an accurate linear approximation of the AC power flow equations with the distributionally robust chance constraint reformulation, the resulting optimization problem becomes convex and computationally tractable.
2010-11-01
4.1 Lemma 1 The probability that the flow through a path is optimal is given by: ( ) ( ) ( )2 2 1 C C − − n fQ 1 1 nfp a Q− ⋅ f≥ − a...1n nQ Q+ < As ( ) ( )21 2 / 1 nfp C C≥ − − − ⋅ Q This implies that is an increasing function of n . For example, given , fp 4C = 24Q a
2007-09-01
approach, the decision maker is viewed as a 13 learning agent, who receives feedback from the environment based on decisions the agent makes. Good...automaton produce results for which either reward or punishment ensue. The feedback then changes the probability of choosing that action such that...mul- tiobjective combinatorial optimization. Sociedad de Estad́ıstica e Investigación Operativa TOP, 12(1), 1—89. 48. Ermoliev, Y. and Wets, R
Directory of Open Access Journals (Sweden)
Jimeng Li
2016-01-01
Full Text Available The structure of mechanical equipment becomes increasingly complex, and tough environments under which it works often make bearings and gears subject to failure. However, effective extraction of useful feature information submerged in strong noise that is indicative of structural defects has remained a major challenge. Therefore, an adaptive multiscale noise control enhanced stochastic resonance (SR method based on modified ensemble empirical mode decomposition (EEMD for mechanical fault diagnosis is proposed in the paper. According to the oscillation characteristics of signal itself, the algorithm of modified EEMD can adaptively decompose the fault signals into different scales and it reduces the decomposition levels to improve calculation efficiency of the proposed method. Through filter processing with the constructed filters, the orthogonality of adjacent intrinsic mode functions (IMFs can be improved, which is conducive to enhancing the extraction of weak features from strong noise. The constructed signal obtained by using IMFs is inputted into the SR system, and the noise control parameter of different scales is optimized and selected with the help of the genetic algorithm, thus achieving the enhancement extraction of weak features. Finally, simulation experiments and engineering application of bearing fault diagnosis demonstrate the effectiveness and feasibility of the proposed method.
Prescribed Performance Fuzzy Adaptive Output-Feedback Control for Nonlinear Stochastic Systems
Directory of Open Access Journals (Sweden)
Lili Zhang
2014-01-01
Full Text Available A prescribed performance fuzzy adaptive output-feedback control approach is proposed for a class of single-input and single-output nonlinear stochastic systems with unmeasured states. Fuzzy logic systems are used to identify the unknown nonlinear system, and a fuzzy state observer is designed for estimating the unmeasured states. Based on the backstepping recursive design technique and the predefined performance technique, a new fuzzy adaptive output-feedback control method is developed. It is shown that all the signals of the resulting closed-loop system are bounded in probability and the tracking error remains an adjustable neighborhood of the origin with the prescribed performance bounds. A simulation example is provided to show the effectiveness of the proposed approach.
Burger, Christian; Schade, Volker; Lindner, Christina; Radlinger, Lorenz; Elfering, Achim
2012-01-01
This study examined the effects of stochastic resonance whole-body vibration training on work-related musculoskeletal symptoms and accidents. Participants were white and blue-collar employees of a Swiss metal manufacturer (N=38), and participation was voluntary. The study was designed as a switching-replications longitudinal trial with randomized group allocation. The randomized controlled cross-over design consisted of two groups each given four weeks of exercise and no intervention during a second four-week period. Outcome was measured on a daily basis with questionnaires. Three components constituted musculoskeletal symptoms: musculoskeletal pain, related function limitations and musculoskeletal well-being. Accidents were assessed by ratings for balance and daily near-accidents. For statistical analysis, a mixed model was calculated. At the end of the training period musculoskeletal pain and related function limitation were significantly reduced, whereas musculoskeletal well-being had significantly increased. For function limitation and musculoskeletal well-being, change over time was linear. There was no effect on balance or near-accidents. Stochastic resonance whole-body vibration was found to be effective in the prevention of work-related musculoskeletal symptoms. It is well suited for the use in a work environment since it requires very little effort in terms of infrastructure, time and investment from participants.
Englander, Arnold C.; Englander, Jacob A.
2017-01-01
Interplanetary trajectory optimization problems are highly complex and are characterized by a large number of decision variables and equality and inequality constraints as well as many locally optimal solutions. Stochastic global search techniques, coupled with a large-scale NLP solver, have been shown to solve such problems but are inadequately robust when the problem constraints become very complex. In this work, we present a novel search algorithm that takes advantage of the fact that equality constraints effectively collapse the solution space to lower dimensionality. This new approach walks the filament'' of feasibility to efficiently find the global optimal solution.
Indian Academy of Sciences (India)
andoh
input signals, consisting of random square waves. We find that, in an optimal band of noise, the output consistently is a logical combination of the input signals: Logical Stochastic Resonance. (LSR) with K. Murali, W.L. Ditto, A. Bulsara. Physical Review Letters, March 2009. Sudeshna Sinha. Logical Stochastic Resonance ...
Risk-sensitive control of stochastic hybrid systems on infinite time horizon
National Research Council Canada - National Science Library
Runolfsson, Thordur
2000-01-01
A risk-sensitive optimal control problem is considered for a hybrid system that consists of continuous time diffusion process that depends on a discrete valued mode variable that is modeled as a Markov chain...
Risk-sensitive control of stochastic hybrid systems on infinite time horizon
National Research Council Canada - National Science Library
Runolfsson Thordur
1999-01-01
A risk-sensitive optimal control problem is considered for a hybrid system that consists of continuous time diffusion process that depends on a discrete valued mode variable that is modeled as a Markov chain...
Davidsen, Claus; Liu, Suxia; Mo, Xingguo; Engelund Holm, Peter; Trapp, Stefan; Rosbjerg, Dan; Bauer-Gottwein, Peter
2015-04-01
Few studies address water quality in hydro-economic models, which often focus primarily on optimal allocation of water quantities. Water quality and water quantity are closely coupled, and optimal management with focus solely on either quantity or quality may cause large costs in terms of the oth-er component. In this study, we couple water quality and water quantity in a joint hydro-economic catchment-scale optimization problem. Stochastic dynamic programming (SDP) is used to minimize the basin-wide total costs arising from water allocation, water curtailment and water treatment. The simple water quality module can handle conservative pollutants, first order depletion and non-linear reactions. For demonstration purposes, we model pollutant releases as biochemical oxygen demand (BOD) and use the Streeter-Phelps equation for oxygen deficit to compute the resulting min-imum dissolved oxygen concentrations. Inelastic water demands, fixed water allocation curtailment costs and fixed wastewater treatment costs (before and after use) are estimated for the water users (agriculture, industry and domestic). If the BOD concentration exceeds a given user pollution thresh-old, the user will need to pay for pre-treatment of the water before use. Similarly, treatment of the return flow can reduce the BOD load to the river. A traditional SDP approach is used to solve one-step-ahead sub-problems for all combinations of discrete reservoir storage, Markov Chain inflow clas-ses and monthly time steps. Pollution concentration nodes are introduced for each user group and untreated return flow from the users contribute to increased BOD concentrations in the river. The pollutant concentrations in each node depend on multiple decision variables (allocation and wastewater treatment) rendering the objective function non-linear. Therefore, the pollution concen-tration decisions are outsourced to a genetic algorithm, which calls a linear program to determine the remainder of the decision
Algorithms for optimizing CT fluence control
Hsieh, Scott S.; Pelc, Norbert J.
2014-03-01
The ability to customize the incident x-ray fluence in CT via beam-shaping filters or mA modulation is known to improve image quality and/or reduce radiation dose. Previous work has shown that complete control of x-ray fluence (ray-by-ray fluence modulation) would further improve dose efficiency. While complete control of fluence is not currently possible, emerging concepts such as dynamic attenuators and inverse-geometry CT allow nearly complete control to be realized. Optimally using ray-by-ray fluence modulation requires solving a very high-dimensional optimization problem. Most optimization techniques fail or only provide approximate solutions. We present efficient algorithms for minimizing mean or peak variance given a fixed dose limit. The reductions in variance can easily be translated to reduction in dose, if the original variance met image quality requirements. For mean variance, a closed form solution is derived. The peak variance problem is recast as iterated, weighted mean variance minimization, and at each iteration it is possible to bound the distance to the optimal solution. We apply our algorithms in simulations of scans of the thorax and abdomen. Peak variance reductions of 45% and 65% are demonstrated in the abdomen and thorax, respectively, compared to a bowtie filter alone. Mean variance shows smaller gains (about 15%).
Hover flight control of helicopter using optimal control theory
Ahmed ABOULFTOUH; Gamal EL-BAYOUMI; Mohamed MADBOULI
2015-01-01
This paper represents the optimal control theory and its application to the full scale helicopters. Generally the control of a helicopter is a hard task, because its system is very nonlinear, coupled and sensitive to the control inputs and external disturbances which might destabilize the system. As a result of these instabilities, it is essential to use a control process that helps to improve the systems performance, confirming stability and robustness. The main objective of this part is to ...
Recent developments in cooperative control and optimization
Murphey, Robert; Pardalos, Panos
2004-01-01
Over the past several years, cooperative control and optimization has un questionably been established as one of the most important areas of research in the military sciences. Even so, cooperative control and optimization tran scends the military in its scope -having become quite relevant to a broad class of systems with many exciting, commercial, applications. One reason for all the excitement is that research has been so incredibly diverse -spanning many scientific and engineering disciplines. This latest volume in the Cooperative Systems book series clearly illustrates this trend towards diversity and creative thought. And no wonder, cooperative systems are among the hardest systems control science has endeavored to study, hence creative approaches to model ing, analysis, and synthesis are a must! The definition of cooperation itself is a slippery issue. As you will see in this and previous volumes, cooperation has been cast into many different roles and therefore has assumed many diverse meanings. P...
Robust state feedback controller design of STATCOM using chaotic optimization algorithm
Directory of Open Access Journals (Sweden)
Safari Amin
2010-01-01
Full Text Available In this paper, a new design technique for the design of robust state feedback controller for static synchronous compensator (STATCOM using Chaotic Optimization Algorithm (COA is presented. The design is formulated as an optimization problem which is solved by the COA. Since chaotic planning enjoys reliability, ergodicity and stochastic feature, the proposed technique presents chaos mapping using Lozi map chaotic sequences which increases its convergence rate. To ensure the robustness of the proposed damping controller, the design process takes into account a wide range of operating conditions and system configurations. The simulation results reveal that the proposed controller has an excellent capability in damping power system low frequency oscillations and enhances greatly the dynamic stability of the power systems. Moreover, the system performance analysis under different operating conditions shows that the phase based controller is superior compare to the magnitude based controller.
Luo, B; Li, J B; Huang, G H; Li, H L
2006-05-15
This study presents a simulation-based interval two-stage stochastic programming (SITSP) model for agricultural non-point source (NPS) pollution control through land retirement under uncertain conditions. The modeling framework was established by the development of an interval two-stage stochastic program, with its random parameters being provided by the statistical analysis of the simulation outcomes of a distributed water quality approach. The developed model can deal with the tradeoff between agricultural revenue and "off-site" water quality concern under random effluent discharge for a land retirement scheme through minimizing the expected value of long-term total economic and environmental cost. In addition, the uncertainties presented as interval numbers in the agriculture-water system can be effectively quantified with the interval programming. By subdividing the whole agricultural watershed into different zones, the most pollution-related sensitive cropland can be identified and an optimal land retirement scheme can be obtained through the modeling approach. The developed method was applied to the Swift Current Creek watershed in Canada for soil erosion control through land retirement. The Hydrological Simulation Program-FORTRAN (HSPF) was used to simulate the sediment information for this case study. Obtained results indicate that the total economic and environmental cost of the entire agriculture-water system can be limited within an interval value for the optimal land retirement schemes. Meanwhile, a best and worst land retirement scheme was obtained for the study watershed under various uncertainties.
Trajectory averaging for stochastic approximation MCMC algorithms
Liang, Faming
2010-10-01
The subject of stochastic approximation was founded by Robbins and Monro [Ann. Math. Statist. 22 (1951) 400-407]. After five decades of continual development, it has developed into an important area in systems control and optimization, and it has also served as a prototype for the development of adaptive algorithms for on-line estimation and control of stochastic systems. Recently, it has been used in statistics with Markov chain Monte Carlo for solving maximum likelihood estimation problems and for general simulation and optimizations. In this paper, we first show that the trajectory averaging estimator is asymptotically efficient for the stochastic approximation MCMC (SAMCMC) algorithm under mild conditions, and then apply this result to the stochastic approximation Monte Carlo algorithm [Liang, Liu and Carroll J. Amer. Statist. Assoc. 102 (2007) 305-320]. The application of the trajectory averaging estimator to other stochastic approximationMCMC algorithms, for example, a stochastic approximation MLE algorithm for missing data problems, is also considered in the paper. © Institute of Mathematical Statistics, 2010.
Bulgakov, V. K.; Strigunov, V. V.
2009-05-01
The Pontryagin maximum principle is used to prove a theorem concerning optimal control in regional macroeconomics. A boundary value problem for optimal trajectories of the state and adjoint variables is formulated, and optimal curves are analyzed. An algorithm is proposed for solving the boundary value problem of optimal control. The performance of the algorithm is demonstrated by computing an optimal control and the corresponding optimal trajectories.
The impact of short-term stochastic variability in solar irradiance on optimal microgrid design
Energy Technology Data Exchange (ETDEWEB)
Schittekatte, Tim [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Pontificia Comillas Univ., Madrid (Spain); Florence School of Regulation, Firenze (Italy); Stadler, Michael [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Center for Energy Innovation Technologies, Hofamt Priel (Austria); Cardoso, Gonçalo [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Mashayekh, Salman [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Narayanan, Sankar [Microgrid Labs, Cary, NC (United States)
2016-07-01
This paper proposes a new methodology to capture the impact of fast moving clouds on utility power demand charges observed in microgrids with photovoltaic (PV) arrays, generators, and electrochemical energy storage. It consists of a statistical approach to introduce sub-hourly events in the hourly economic accounting process. The methodology is implemented in the Distributed Energy Resources Customer Adoption Model (DER-CAM), a state of the art mixed integer linear model used to optimally size DER in decentralized energy systems. Results suggest that previous iterations of DER-CAM could undersize battery capacities. The improved model depicts more accurately the economic value of PV as well as the synergistic benefits of pairing PV with storage.
Emergence of Lévy Walks from Second-Order Stochastic Optimization
Kuśmierz, Łukasz; Toyoizumi, Taro
2017-12-01
In natural foraging, many organisms seem to perform two different types of motile search: directed search (taxis) and random search. The former is observed when the environment provides cues to guide motion towards a target. The latter involves no apparent memory or information processing and can be mathematically modeled by random walks. We show that both types of search can be generated by a common mechanism in which Lévy flights or Lévy walks emerge from a second-order gradient-based search with noisy observations. No explicit switching mechanism is required—instead, continuous transitions between the directed and random motions emerge depending on the Hessian matrix of the cost function. For a wide range of scenarios, the Lévy tail index is α =1 , consistent with previous observations in foraging organisms. These results suggest that adopting a second-order optimization method can be a useful strategy to combine efficient features of directed and random search.
Aire controls gene expression in the thymic epithelium with ordered stochasticity
Meredith, Matthew; Zemmour, David; Mathis, Diane; Benoist, Christophe
2015-01-01
Aire controls immunologic tolerance by inducing the ectopic thymic expression of many tissue-specific genes, acting broadly by removing stops on the transcriptional machinery. To better understand Aire’s specificity, we performed single-cell RNAseq and DNA methylation analysis in Aire-sufficient and -deficient medullary epithelial cells (mTECs). Each of Aire’s target genes was induced in only a minority of mTECs, independently of DNA methylation patterns, as small inter-chromosomal gene clusters activated in concert in a proportion of mTECs. These microclusters differed between individual mice, and thus suggest an organization of the DNA or of the epigenome that results from stochastic determinism, but is bookmarked and stable through mTEC divisions, ensuring more effective presentation of self-antigens, and favoring diversity of self-tolerance between individuals. PMID:26237550
Aire controls gene expression in the thymic epithelium with ordered stochasticity.
Meredith, Matthew; Zemmour, David; Mathis, Diane; Benoist, Christophe
2015-09-01
The transcription factor Aire controls immunological tolerance by inducing the ectopic thymic expression of many tissue-specific genes, acting broadly by removing stops on the transcriptional machinery. To better understand Aire's specificity, we performed single-cell RNA-seq and DNA-methylation analysis of Aire-sufficient and Aire-deficient medullary epithelial cells (mTECs). Each of Aire's target genes was induced in only a minority of mTECs, independently of DNA-methylation patterns, as small inter-chromosomal gene clusters activated in concert in a proportion of mTECs. These microclusters differed between individual mice. Thus, our results suggest an organization of the DNA or of the epigenome that results from stochastic determinism but is 'bookmarked' and stable through mTEC divisions, which ensures more effective presentation of self antigens and favors diversity of self-tolerance between individuals.
Control of deterministic and stochastic systems with several small parameters - A survey
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Vasile Dragan
2009-07-01
Full Text Available The past three decades of research on multiparametric singularly perturbed systems are reviewed, including recent results. Particular attention is paid to stability analysis, control, filtering problems and dynamic games. First, a parameter-independent design methodology is summarized, which employs a two-time-scale and descriptor system approach without information on the small parameters. Further, variational computational algorithms are included to avoid ill-conditioned systems : the exact slow-fast decomposition method, the recursive algorithm and Newton's method are considered in particular. Convergence results are presented and the existence and uniqueness of the solutions are discussed. Second, the new results obtained via the stochastic approach are presented. Finally, the results of a simulation of a practical power system are presented to validate the efficiency of the considered design methods.