A Stochastic Dual Dynamic Programming Framework for Multiscale MPC
Sign Up to like & getrecommendations! Published in 2018 at "IFAC-PapersOnLine"
DOI: 10.1016/j.ifacol.2018.11.041
Abstract: Abstract We derive and interpret stochastic dual dynamic programming (SDDP) from the perspective of MPC to argue that SDDP provides a scalable approach to handle complex MPC applications with uncertainties evolving over long time horizons… read more here.
Keywords: mpc; programming framework; dynamic programming; stochastic dual ... See more keywords
Acceleration for proximal stochastic dual coordinate ascent algorithm in solving regularised loss minimisation with ℓ 2 norm
Sign Up to like & getrecommendations! Published in 2018 at "Electronics Letters"
DOI: 10.1049/el.2017.4544
Abstract: An accelerated version of the proximal stochastic dual coordinate ascent (SDCA) algorithm in solving regularised loss minimisation with l 2 norm is presented, wherein a momentum is introduced and the strong theoretical guarantees of SDCA… read more here.
Keywords: solving regularised; proximal stochastic; coordinate ascent; dual coordinate ... See more keywords
A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems
Sign Up to like & getrecommendations! Published in 2020 at "Optimization Methods and Software"
DOI: 10.1080/10556788.2020.1811705
Abstract: This paper studies a class of two-stage distributionally robust optimization (TDRO) problems which comes from many practical application fields. In order to set up some implementable solution method, we first transfer the TDRO problem to… read more here.
Keywords: stage distributionally; two stage; distributionally robust; robust optimization ... See more keywords
Accelerated Control Using Stochastic Dual Simplex Algorithm and Genetic Filter for Drone Application
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Aerospace and Electronic Systems"
DOI: 10.1109/taes.2021.3134751
Abstract: This article presents a new proportional-integral-derivative-accelerated (PIDA) control with a derivative filter to improve quadcopter/drone flight stability in a noisy environment. The mathematical model is derived from having an accurate model with a high level… read more here.
Keywords: simplex algorithm; stochastic dual; genetic filter; control ... See more keywords
Multistage Stochastic Unit Commitment Using Stochastic Dual Dynamic Integer Programming
Sign Up to like & getrecommendations! Published in 2019 at "IEEE Transactions on Power Systems"
DOI: 10.1109/tpwrs.2018.2880996
Abstract: Unit commitment (UC) is a key operational problem in power systems for the optimal schedule of daily generation commitment. Incorporating uncertainty in this already difficult mixed-integer optimization problem introduces significant computational challenges. Most existing stochastic… read more here.
Keywords: multistage stochastic; integer; stochastic dual; unit commitment ... See more keywords
A Nonconvex Regularization Scheme for the Stochastic Dual Dynamic Programming Algorithm
Sign Up to like & getrecommendations! Published in 2023 at "INFORMS Journal on Computing"
DOI: 10.1287/ijoc.2021.0255
Abstract: We propose a new nonconvex regularization scheme to improve the performance of the stochastic dual dynamic programming (SDDP) algorithm for solving large-scale multistage stochastic programs. Specifically, we use a class of nonconvex regularization functions, namely… read more here.
Keywords: stochastic dual; nonconvex regularization; dual dynamic; regularization ... See more keywords