In this paper, we consider a Markov decision process (MDP), where the ego agent has a nominal objective to pursue while needs to hide its state from detection by an adversary. After formulating the problem, we first propose a value iteration (VI) approach to solve it. To overcome the "curse of dimensionality" and thus gain scalability to larger-sized problems, we then propose a receding-horizon optimization (RHO) approach to obtain approximate solutions. We use examples to illustrate and compare the VI and RHO approaches, and to show the potential of our problem formulation for practical applications.
California Institute of Technology（加州理工学院）；NASA Jet Propulsion Laboratory（NASA喷气推进实验室）
We consider the problem of designing policies for Markov decision processes (MDPs) with dynamic coherent risk objectives and constraints. We begin by formulating the problem in a Lagrangian framework. Under the assumption that the risk objectives and constraints can be represented by a Markov risk transition mapping, we propose an optimization-based method to synthesize Markovian policies that lower-bound the constrained risk-averse problem. We demonstrate that the formulated optimization problems are in the form of difference convex programs (DCPs) and can be solved by the disciplined convex-…
California Institute of Technology（加州理工学院）；NASA Jet Propulsion Laboratory（NASA喷气推进实验室）
A large class of decision making under uncertainty problems can be described via Markov decision processes (MDPs) or partially observable MDPs (POMDPs), with application to artificial intelligence and operations research, among others. Traditionally, policy synthesis techniques are proposed such that a total expected cost or reward is minimized or maximized. However, optimality in the total expected cost sense is only reasonable if system behavior in the large number of runs is of interest, which has limited the use of such policies in practical mission-critical scenarios, wherein large deviat…
We consider the stochastic shortest path planning problem in MDPs, i.e., the problem of designing policies that ensure reaching a goal state from a given initial state with minimum accrued cost. In order to account for rare but important realizations of the system, we consider a nested dynamic coherent risk total cost functional rather than the conventional risk-neutral total expected cost. Under some assumptions, we show that optimal, stationary, Markovian policies exist and can be found via a special Bellman's equation. We propose a computational technique based on difference convex programs…
We propose a learning-based, distributionally robust model predictive control approach towards the design of adaptive cruise control (ACC) systems. We model the preceding vehicle as an autonomous stochastic system, using a hybrid model with continuous dynamics and discrete, Markovian inputs. We estimate the (unknown) transition probabilities of this model empirically using observed mode transitions and simultaneously determine sets of probability vectors (ambiguity sets) around these estimates, that contain the true transition probabilities with high confidence. We then solve a risk-averse opt…
We investigate the problem of risk averse robot path planning using the deep reinforcement learning and distributionally robust optimization perspectives. Our problem formulation involves modelling the robot as a stochastic linear dynamical system, assuming that a collection of process noise samples is available. We cast the risk averse motion planning problem as a Markov decision process and propose a continuous reward function design that explicitly takes into account the risk of collision with obstacles while encouraging the robot's motion towards the goal. We learn the risk-averse robot co…
We present a learning model predictive control (MPC) scheme for chance-constrained Markov jump systems with unknown switching probabilities. Using samples of the underlying Markov chain, ambiguity sets of transition probabilities are estimated which include the true conditional probability distributions with high probability. These sets are updated online and used to formulate a time-varying, risk-averse optimal control problem. We prove recursive feasibility of the resulting MPC scheme and show that the original chance constraints remain satisfied at every time step. Furthermore, we show that…
The popularity of Conditional Value-at-Risk (CVaR), a risk functional from finance, has been growing in the control systems community due to its intuitive interpretation and axiomatic foundation. We consider a nonstandard optimal control problem in which the goal is to minimize the CVaR of a maximum random cost subject to a Borel-space Markov decision process. The objective represents the maximum departure from a desired operating region averaged over a given fraction of the worst cases. This problem provides a safety criterion for a stochastic system that is informed by both the probability a…
This paper presents a convex reformulation of a nonlinear constrained optimization problem for Markov decision processes, and applies the technical findings to optimal control problems for an ensemble of thermostatically controlled loads (TCLs). The paper further explores the formulation and solution of a (linearized) AC optimal power flow problem when one or more ensembles of TCLs are connected to a power network. In particular, a receding horizon controller is proposed, to simultaneously compute the optimal set-points of distributed energy resources (DERs) in the grid and the optimal switchi…
We present recent results that demonstrate the power of viewing the problem of V-formation in a flock of birds as one of Model Predictive Control (MPC). The V-formation-MPC marriage can be understood in terms of the problem of synthesizing an optimal plan for a continuous-space and continuous-time Markov decision process (MDP), where the goal is to reach a target state that minimizes a given cost function. First, we consider ARES, an approximation algorithm for generating optimal plans (action sequences) that take an initial state of an MDP to a state whose cost is below a specified (convergen…
Comparing Socially-Equitable Renewable Energy Budget Allocation MDP Policies in Mature and Emerging Economies
Management \& Technology University of Pennsylvania Philadelphia, PA, USA；Systems Engineering Institute Technology of Sepuluh Nopember (ITS) Surabaya, Indonesia；Systems Engineering King Fahd University of Petroleum
