In this paper, we propose a novel approach to synthesize linear feedback controllers for navigating in polygonal environments using noisy measurements and a convex cell decomposition. Our method is based on formulating chance constraints for the convergence and collision avoidance condition. In particular, the stability and safety guarantees come from chance Control Barrier Function (CBF) constraints and chance Control Lyapunov Function (CLF) constraints, respectively. We use convex over-approximations to get upper bounds of the constraints, leading to a convex robust quadratic program for finding the controller. We apply and provide simulation results for equilibrium control and path control. The result shows that the controller is robust with the noise input.
Many stochastic optimization problems include chance constraints that enforce constraint satisfaction with a specific probability; however, solving an optimization problem with chance constraints assumes that the solver has access to the exact underlying probability distribution, which is often unreasonable. In data-driven applications, it is common instead to use historical data samples as a surrogate to the distribution; however, this comes at a significant computational cost from the added time spent either processing the data or, worse, adding additional variables and constraints to the op…
In this paper, we propose a robust optimization-based heuristic algorithm for the chance-constrained binary knapsack problem (CKP). We assume that the weights of items are independent normally distributed. By utilizing the properties of the submodular function, the proposed method approximates the CKP to the robust knapsack problem with a cardinality constrained uncertainty set parameterized by a uncertainty budget parameter. The proposed approach obtains a heuristic solution by solving the approximated robust knapsack problem whose optimal solution can be obtained by solving the ordinary bina…
In this paper we discuss distributional robustness in the context of stochastic model predictive control (SMPC) for linear time-invariant systems. We derive a simple approximation of the MPC problem under an additive zero-mean i.i.d. noise with quadratic cost. Due to the lack of distributional information, chance constraints are enforced as distributionally robust (DR) chance constraints, which we opt to unify with the concept of probabilistic reachable sets (PRS). For Wasserstein ambiguity sets, we propose a simple convex optimization problem to compute the DR-PRS based on finitely many distu…
In this paper, we develop an exact reformulation and a deterministic approximation for distributionally robust joint chance-constrained programmings (DRCCPs) with a general class of convex uncertain constraints under data-driven Wasserstein ambiguity sets. It is known that robust chance constraints can be conservatively approximated by worst-case conditional value-at-risk (CVaR) constraints. It is shown that the proposed worst-case CVaR approximation model can be reformulated as an optimization problem involving biconvex constraints for joint DRCCP. We then derive a convex relaxation of this a…
Optimal Power Flow (OPF) dispatches controllable generation at minimum cost subject to operational constraints on generation and transmission assets. The uncertainty and variability of intermittent renewable generation is challenging current deterministic OPF approaches. Recent formulations of OPF use chance constraints to limit the risk from renewable generation uncertainty, however, these new approaches typically assume the probability distributions which characterize the uncertainty and variability are known exactly. We formulate a Robust Chance Constrained (RCC) OPF that accounts for uncer…
Aggregation of heating, ventilation, and air conditioning (HVAC) loads can provide reserves to absorb volatile renewable energy, especially solar photo-voltaic (PV) generation. In this paper, we decide HVAC control schedules under uncertain PV generation, using a distributionally robust chance-constrained (DRCC) building load control model under two typical ambiguity sets: the moment-based and Wasserstein ambiguity sets. We derive mixed-integer linear programming (MILP) reformulations for DRCC problems under both sets. Especially, for the Wasserstein ambiguity set, we utilize the right-hand si…
Chance constrained optimal power flow (OPF) has been recognized as a promising framework to manage the risk from variable renewable energy (VRE). In presence of VRE uncertainties, this paper discusses a distributionally robust chance constrained approximate AC-OPF. The power flow model employed in the proposed OPF formulation combines an exact AC power flow model at the nominal operation point and an approximate linear power flow model to reflect the system response under uncertainties. The ambiguity set employed in the distributionally robust formulation is the Wasserstein ball centered at th…
We consider chance-constrained binary knapsack problems, where the weights of items are independent random variables with the means and standard deviations known. The chance constraint can be reformulated as a second-order cone constraint under some assumptions for the probability distribution of the weights. The problem becomes a second-order cone-constrained binary knapsack problem, which is equivalent to a robust binary knapsack problem with an ellipsoidal uncertainty set. We demonstrate that optimal solutions to robust binary knapsack problems with inner and outer polyhedral approximations…
Chance constrained optimal power flow (CC-OPF) formulations have been proposed to minimize operational costs while controlling the risk arising from uncertainties like renewable generation and load consumption. To solve CC-OPF, we often need access to the (true) joint probability distribution of all uncertainties, which is rarely known in practice. A solution based on a biased estimate of the distribution can result in poor reliability. To overcome this challenge, recent work has explored distributionally robust chance constraints, in which the chance constraints are satisfied over a family of…
We study the problem of finite-time constrained optimal control of unknown stochastic linear time-invariant systems, which is the key ingredient of a predictive control algorithm -- albeit typically having access to a model. We propose a novel distributionally robust data-enabled predictive control (DeePC) algorithm which uses noise-corrupted input/output data to predict future trajectories and compute optimal control inputs while satisfying output chance constraints. The algorithm is based on (i) a non-parametric representation of the subspace spanning the system behaviour, where past traject…
Increasing integration of renewable generation poses significant challenges to ensure robustness guarantees in real-time energy system decision-making. This work aims to develop a robust optimal transmission switching (OTS) framework that can effectively relieve grid congestion and mitigate renewable curtailment. We formulate a two-stage distributionally robust chance-constrained (DRCC) problem that assures limited constraint violations for any uncertainty distribution within an ambiguity set. Here, the second-stage recourse variables are represented as linear functions of uncertainty, yieldin…
This paper studies a distributionally robust chance constrained program (DRCCP) with Wasserstein ambiguity set, where the uncertain constraints should be satisfied with a probability at least a given threshold for all the probability distributions of the uncertain parameters within a chosen Wasserstein distance from an empirical distribution. In this work, we investigate equivalent reformulations and approximations of such problems. We first show that a DRCCP can be reformulated as a conditional value-at-risk constrained optimization problem, and thus admits tight inner and outer approximation…
Given $X \subset R^n$, $\varepsilon \in (0,1)$, a parametrized family of probability distributions $(μ\_{a})\_{a\in A}$ on $Ω\subset R^p$, we consider the feasible set $X^*\_\varepsilon\subset X$ associated with the {\em distributionally robust} chance-constraint \[X^*\_\varepsilon\,=\,\{x \in X :\:{\rm Prob}\_μ[f(x,ω)\,>\,0]> 1-\varepsilon,\,\forallμ\in M\_a\},\]where $M\_a$ is the set of all possibles mixtures of distributions $μ\_a$, $a\in A$.For instance and typically, the family$M\_a$ is the set of all mixtures ofGaussian distributions on $R$ with mean and standard deviation $a=(a,σ)$ in …
Distributionally robust chance constrained programs minimize a deterministic cost function subject to the satisfaction of one or more safety conditions with high probability, given that the probability distribution of the uncertain problem parameters affecting the safety condition(s) is only known to belong to some ambiguity set. We study three popular approximation schemes for distributionally robust chance constrained programs over Wasserstein balls, where the ambiguity set contains all probability distributions within a certain Wasserstein distance to a reference distribution. The first app…
The growing amount of fluctuating renewable infeeds and market liberalization increases uncertainty in power system operation. To capture the influence of fluctuations in operational planning, we model the forecast errors of the uncertain in-feeds as random variables and formulate a security constrained optimal power flow using chance constraints. The chance constraints limit the probability of violations of technical constraints, such as generation and transmission limits, but require a tractable reformulation. In this paper, we discuss different analytical reformulations of the chance constr…
This paper studies distributionally robust chance constrained programs (DRCCPs), where the uncertain constraints must be satisfied with at least a probability of a prespecified threshold for all probability distributions from the Wasserstein ambiguity set. As DRCCPs are often nonconvex and challenging to solve optimally, researchers have been developing various convex inner approximations. Recently, ALSO-X has been proven to outperform the conditional value-at-risk (CVaR) approximation of a regular chance constrained program when the deterministic set is convex. In this work, we relax this ass…
We consider exact deterministic mixed-integer programming (MIP) reformulations of distributionally robust chance-constrained programs (DR-CCP) with random right-hand sides over Wasserstein ambiguity sets. The existing MIP formulations are known to have weak continuous relaxation bounds, and, consequently, for hard instances with small radius, or with large problem sizes, the branch-and-bound based solution processes suffer from large optimality gaps even after hours of computation time. This significantly hinders the practical application of the DR-CCP paradigm. Motivated by these challenges, …
Markov decision process (MDP) is a decision making framework where a decision maker is interested in maximizing the expected discounted value of a stream of rewards received at future stages at various states which are visited according to a controlled Markov chain. Many algorithms including linear programming methods are available in the literature to compute an optimal policy when the rewards and transition probabilities are deterministic. In this paper, we consider an MDP problem where the transition probabilities are known and the reward vector is a random vector whose distribution is part…
Distributionally robust chance-constrained programs (DR-CCP) over Wasserstein ambiguity sets exhibit attractive out-of-sample performance and admit big-$M$-based mixed-integer programming (MIP) reformulations with conic constraints. However, the resulting formulations often suffer from scalability issues as sample size increases. To address this shortcoming, we derive stronger formulations that scale well with respect to the sample size. Our focus is on ambiguity sets under the so-called left-hand side (LHS) uncertainty, where the uncertain parameters affect the coefficients of the decision va…
We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where the constraints are required to hold for a family of distributions constructed from the observed realizations of the uncertainty via the Wasserstein distance. Our main results establish that if the samples are drawn independently from an underlying distribution and the problems satisfy suitable technical assumptions, then the optimal value and optimizers of …
This paper considers a security constrained dispatch problem involving generation and line contingencies in the presence of the renewable generation. The uncertainty due to renewables is modeled using joint chance-constraint and the mismatch caused by contingencies and renewables are handled using reserves. We consider a distributionally robust approach to solve the chance-constrained program. We assume that samples of the uncertainty are available. Using them, we construct a set of distributions, termed ambiguity set, containing all distributions that are close to the empirical distribution u…
College of Engineering, Cornell University（康奈尔大学工程学院）
This paper presents a novel deep learning based data-driven optimization method. A novel generative adversarial network (GAN) based data-driven distributionally robust chance constrained programming framework is proposed. GAN is applied to fully extract distributional information from historical data in a nonparametric and unsupervised way without a priori approximation or assumption. Since GAN utilizes deep neural networks, complicated data distributions and modes can be learned, and it can model uncertainty efficiently and accurately. Distributionally robust chance constrained programming ta…
In this paper we propose a data-driven distributionally robust Model Predictive Control framework for constrained stochastic systems with unbounded additive disturbances. Recursive feasibility is ensured by optimizing over an linearly interpolated initial state constraint in combination with a simplified affine disturbance feedback policy. We consider a moment-based ambiguity set with data-driven radius for the second moment of the disturbance, where we derive a minimum number of samples in order to ensure user-given confidence bounds on the chance constraints and closed-loop performance. The …
We study sample average approximations (SAA) of chance constrained programs. SAA methods typically approximate the actual distribution in the chance constraint using an empirical distribution constructed from random samples assumed to be independent and identically distributed according to the actual distribution. In this paper, we consider a nonstationary variant of this problem, where the random samples are assumed to be independently drawn in a sequential fashion from an unknown and possibly time-varying distribution. This nonstationarity may be driven by changing environmental conditions p…
This paper is motivated by addressing open questions in distributionally robust chance-constrained programs (DRCCP) using the popular Wasserstein ambiguity sets. Specifically, the computational techniques for those programs typically place restrictive assumptions on the constraint functions and the size of the Wasserstein ambiguity sets is often set using costly cross-validation (CV) procedures or conservative measure concentration bounds. In contrast, we propose a practical DRCCP algorithm using kernel maximum mean discrepancy (MMD) ambiguity sets, which we term MMD-DRCCP, to treat general no…
This paper studies the problem of distributionally robust model predictive control (MPC) using total variation distance ambiguity sets. For a discrete-time linear system with additive disturbances, we provide a conditional value-at-risk reformulation of the MPC optimization problem that is distributionally robust in the expected cost and chance constraints. The distributionally robust chance constraint is over-approximated as a simpler, tightened chance constraint that reduces the computational burden. Numerical experiments support our results on probabilistic guarantees and computational effi…
To manage renewable generation and load consumption uncertainty, chance-constrained optimal power flow (OPF) formulations and various solution methodologies have been proposed. However, conventional solution approaches often rely on accurate estimates of uncertainty distributions, which may not exist. When the distributions are not known but can be limited to a set of plausible distributions, termed an ambiguity set, distributionally robust (DR) optimization can be used to ensure that chance constraints hold for all distributions in that set. However, DR OPF yields conservative solutions if th…
Université Paris-Saclay, CNRS, CentraleSupélec, Laboratoire des signaux et systèmes（巴黎萨克雷大学，法国国家科学研究中心，中央圣艾尔布费尔学院，信号与系统实验室）；ENAC, OPTIM（法国国家航空与航天研究中心，优化部门）；Université Paris-Saclay, CNRS, CentraleSupélec, Fédération de Mathématiques de CentraleSupélec（巴黎萨克雷大学，法国国家科学研究中心，中央圣艾尔布费尔学院，中央圣艾尔布费尔学院数学联合会）
The integration of distributed renewable generation (DRG) in distribution networks can be effectively promoted by scheduling flexible resources such as heating, ventilation, and air conditioning (HVAC) loads. However, finding the optimal scheduling for them is nontrivial because DRG outputs are highly uncertain. To address this issue, this paper proposes a learning-based joint chance-constrained approach to coordinate HVAC loads with DRG. Unlike cutting-edge works adopting individual chance constraints to manage uncertainties, this paper controls the violation probability of all critical const…
Recent studies of optimization methods and GNC of spacecraft near small bodies focusing on descent, landing, rendezvous, etc., with key safety constraints such as line-of-sight conic zones and soft landings have shown promising results; this paper considers descent missions to an asteroid surface with a constraint that consists of an onboard camera and asteroid surface markers while using a stochastic convex MPC law. An undermodeled asteroid gravity and spacecraft technology inspired measurement model is established to develop the constraint. Then a computationally light stochastic Linear Quad…
A high number of electric vehicles (EVs) in the transportation sector necessitates an advanced scheduling framework for e-mobility ecosystem operation as a whole in order to overcome range anxiety and create a viable business model for charging stations (CSs). The framework must account for the stochastic nature of all stakeholders' operations, including EV drivers, CSs, and retailers and their mutual interactions. In this paper, a three-layer joint distributionally robust chance-constrained (DRCC) model is proposed to plan grid-to-vehicle (G2V) and vehicle-to-grid (V2G) operation in day-ahead…
