Optimal uncertainty quantification via convex optimization and relaxation

Many engineering applications face the problem of bounding the expected value of a quantity of interest (performance, risk, cost, etc.) that depends on stochastic uncertainties whose probability distribution is not known exactly. Optimal uncertainty quantification (OUQ) is a framework that aims at obtaining the best bound in these situations by explicitly incorporating available information about the distribution. Unfortunately, this often leads to non-convex optimization problems that are numerically expensive to solve.

This thesis emphasizes on efficient numerical algorithms for OUQ problems. It begins by investigating several classes of OUQ problems that can be reformulated as convex optimization problems. Conditions on the objective function and information constraints under which a convex formulation exists are presented. Since the size of the optimization problem can become quite large, solutions for scaling up are also discussed. Finally, the capability of analyzing a practical system through such convex formulations is demonstrated by a numerical example of energy storage placement in power grids.

When an equivalent convex formulation is unavailable, it is possible to find a convex problem that provides a meaningful bound for the original problem, also known as a convex relaxation. As an example, the thesis investigates the setting used in Hoeffding's inequality. The naive formulation requires solving a collection of non-convex polynomial optimization problems whose number grows doubly exponentially. After structures such as symmetry are exploited, it is shown that both the number and the size of the polynomial optimization problems can be reduced significantly. Each polynomial optimization problem is then bounded by its convex relaxation using sums-of-squares. These bounds are found to be tight in all the numerical examples tested in the thesis and are significantly better than Hoeffding's bounds.

Optimal guidance of low-thrust interplanetary space vehicles

The low-thrust guidance problem is defined as the minimum terminal variance (MTV) control of a space vehicle subjected to random perturbations of its trajectory. To accomplish this control task, only bounded thrust level and thrust angle deviations are allowed, and these must be calculated based solely on the information gained from noisy, partial observations of the state. In order to establish the validity of various approximations, the problem is first investigated under the idealized conditions of perfect state information and negligible dynamic errors. To check each approximate model, an algorithm is developed to facilitate the computation of the open loop trajectories for the nonlinear bang-bang system. Using the results of this phase in conjunction with the Ornstein-Uhlenbeck process as a model for the random inputs to the system, the MTV guidance problem is reformulated as a stochastic, bang-bang, optimal control problem. Since a complete analytic solution seems to be unattainable, asymptotic solutions are developed by numerical methods. However, it is shown analytically that a Kalman filter in cascade with an appropriate nonlinear MTV controller is an optimal configuration. The resulting system is simulated using the Monte Carlo technique and is compared to other guidance schemes of current interest.

Efficient methods for stochastic optimal control

The Hamilton Jacobi Bellman (HJB) equation is central to stochastic optimal control (SOC) theory, yielding the optimal solution to general problems specified by known dynamics and a specified cost functional. Given the assumption of quadratic cost on the control input, it is well known that the HJB reduces to a particular partial differential equation (PDE). While powerful, this reduction is not commonly used as the PDE is of second order, is nonlinear, and examples exist where the problem may not have a solution in a classical sense. Furthermore, each state of the system appears as another dimension of the PDE, giving rise to the curse of dimensionality. Since the number of degrees of freedom required to solve the optimal control problem grows exponentially with dimension, the problem becomes intractable for systems with all but modest dimension.

In the last decade researchers have found that under certain, fairly non-restrictive structural assumptions, the HJB may be transformed into a linear PDE, with an interesting analogue in the discretized domain of Markov Decision Processes (MDP). The work presented in this thesis uses the linearity of this particular form of the HJB PDE to push the computational boundaries of stochastic optimal control.

This is done by crafting together previously disjoint lines of research in computation. The first of these is the use of Sum of Squares (SOS) techniques for synthesis of control policies. A candidate polynomial with variable coefficients is proposed as the solution to the stochastic optimal control problem. An SOS relaxation is then taken to the partial differential constraints, leading to a hierarchy of semidefinite relaxations with improving sub-optimality gap. The resulting approximate solutions are shown to be guaranteed over- and under-approximations for the optimal value function. It is shown that these results extend to arbitrary parabolic and elliptic PDEs, yielding a novel method for Uncertainty Quantification (UQ) of systems governed by partial differential constraints. Domain decomposition techniques are also made available, allowing for such problems to be solved via parallelization and low-order polynomials.

The optimization-based SOS technique is then contrasted with the Separated Representation (SR) approach from the applied mathematics community. The technique allows for systems of equations to be solved through a low-rank decomposition that results in algorithms that scale linearly with dimensionality. Its application in stochastic optimal control allows for previously uncomputable problems to be solved quickly, scaling to such complex systems as the Quadcopter and VTOL aircraft. This technique may be combined with the SOS approach, yielding not only a numerical technique, but also an analytical one that allows for entirely new classes of systems to be studied and for stability properties to be guaranteed.

The analysis of the linear HJB is completed by the study of its implications in application. It is shown that the HJB and a popular technique in robotics, the use of navigation functions, sit on opposite ends of a spectrum of optimization problems, upon which tradeoffs may be made in problem complexity. Analytical solutions to the HJB in these settings are available in simplified domains, yielding guidance towards optimality for approximation schemes. Finally, the use of HJB equations in temporal multi-task planning problems is investigated. It is demonstrated that such problems are reducible to a sequence of SOC problems linked via boundary conditions. The linearity of the PDE allows us to pre-compute control policy primitives and then compose them, at essentially zero cost, to satisfy a complex temporal logic specification.

Vectorial solution of Kukhtarev equations for doubly doped crystals and optimal choice of recording directions in nonvolatile holographic storage

Vectorial Kukhtarev equations modified for the nonvolatile holographic recording in doubly doped crystals are analyzed, in which the bulk photovoltaic effect and the external electrical field are both considered. On the basis of small modulation approximation, both the analytic solution to the space-charge field with time in the recording phase and in the readout phase are deduced. The analytic solutions can be easily simplified to adapt the one-center model, and they have the same analytic expressions given those when the grating vector is along the optical axis. Based on the vectorial analyses of the band transport model an optimal recording direction is given to maximize the refractive index change in doubly doped LiNbO3:Fe: Mn crystals. (c) 2007 Optical Society of America.

Optimal control with stochastic PDE constraints and uncertain controls

The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with the control function possibly decomposed into an unknown deterministic component and a known zero-mean stochastic component. The extra freedom provided by the stochastic dimension in defining cost functionals is explored, demonstrating the scope for controlling statistical aspects of the system response. One-shot stochastic finite element methods are used to find approximate solutions to control problems. It is shown that applying the stochastic collocation finite element method to the formulated problem leads to a coupling between stochastic collocation points when a deterministic optimal control is considered or when moments are included in the cost functional, thereby forgoing the primary advantage of the collocation method over the stochastic Galerkin method for the considered problem. The application of the presented methods is demonstrated through a number of numerical examples. The presented framework is sufficiently general to also consider a class of inverse problems, and numerical examples of this type are also presented. © 2011 Elsevier B.V.

Dynamic programming solutions for decentralized state-feedback LQG problems with communication delays

This paper presents explicit solutions for a class of decentralized LQG problems in which players communicate their states with delays. A method for decomposing the Bellman equation into a hierarchy of independent subproblems is introduced. Using this decomposition, all of the gains for the optimal controller are computed from the solution of a single algebraic Riccati equation. © 2012 AACC American Automatic Control Council).

Study on the hydrolysis/precipitation behavior of Keggin Al-13 and Al-30 polymers in polyaluminum solutions

The hydrolysis/precipitation behaviors of Al3+, Al-13 and Al-30 under conditions typical for flocculation in water treatment were investigated by studying the particulates' size development, charge characteristics, chemical species and speciation transformation of coagulant hydrolysis precipitates. The optimal pH conditions for hydrolysis precipitates formation for AlCl3, PAC(A113) and PAC(A130) were 6.5-7.5, 8.5-9.5, and 7.5-9.5, respectively. The precipitates' formation rate increased with the increase in dosage, and the relative rates were AlCl3 >> PAC(A130) > PACA113. The precipitates' size increased when the dosage increased from 50 mu M to 200 mu M, but it decreased when the dosage increased to 800 AM. The Zeta potential of coagulant hydrolysis precipitates decreased with the increase in pH for the three coagulants. The isoelectric points of the freshly formed precipitates for AlCl3, PAC(A113) and PAC(A130) were 7.3, 9.6 and 9.2, respectively. The Zeta potentials of AlCl3 hydrolysis precipitates were lower than those of PAC(A113) and PAC(A130) when pH > 5.0. The Zeta potential of PAC(A130) hydrolysis precipitates was higher than that of PACA113 at the acidic side, but lower at the alkaline side. The dosage had no obvious effect on the Zeta potential of hydrolysis precipitates under fixed pH conditions. The increase in Zeta potential with the increase in dosage under uncontrolled pH conditions was due to the pH depression caused by coagulant addition. Al-Ferron research indicated that the hydrolysis precipitates of AlCl3 were composed of amorphous AI(OH)3 precipitates, but those of PACA113 and PACA130 were composed of aggregates of Al-13 and Al-30, respectively. Al3+ was the most un-stable species in coagulants, and its hydrolysis was remarkably influenced by solution pH. Al-13 and Al-30 species were very stable, and solution pH and aging had little effect on the chemical species of their hydrolysis products. The research method involving coagulant hydrolysis precipitates based on Al-Ferron reaction kinetics was studied in detail. The Al species classification based on complex reaction kinetic of hydrolysis precipitates and Ferron reagent was different from that measured in a conventional coagulant assay using the Al--Ferron method. The chemical composition of Al-a, Al-b and Al-c depended on coagulant and solution pH. The Al-b measured in the current case was different from Keggin Al-13, and the high Alb content in the AlCl3 hydrolysis precipitates could not used as testimony that most of the Al3+ Was converted to highly charged Al-13 species during AlCl3 coagulation.

Studies on extracting solutions of endohedral rare-earth metallofullerenes by matrix-assisted laser desorption/ionization time-of-flight mass spectrometry

Thirteen extracting solutions of rare-earth metallofullerenes containing La, Ce, Pr, Nd, Sm, Eu, Gd, Tb, Dy, Ho, Er, Tm and Yb respectively have been investigated by means of matrix-assisted laser desorption/ionization time-of-night, mass spectrometry. The influences of the positive-ion/negative-ion mode, laser intensity, matrix and mass discrimination to the analytical results are studied, based on which the optimal analytical conditions have been determined. The results show that the extracting solutions contain large quantities of rare-earth metallofullerenes brs;des empty fullerenes, On the basis of comparing their relative intensities, the different structure stabilities and solubilities of metallofullerenes with different rare-earth metals encapsulated into the fullerene cages, as well as some possible reasons to those differences, are discussed.

Precise solutions of the one-dimensional Monge-Kantorovich problem

Plakhov, A.Y., (2004) 'Precise solutions of the one-dimensional Monge-Kantorovich problem', Sbornik: Mathematics 195(9) pp.1291-1307 RAE2008

Reasoning with sorted-pareto dominance and other qualitative and partially ordered preferences in soft constraints

In decision making problems where we need to choose a particular decision or alternative from a set of possible choices, we often have some preferences which determine if we prefer one decision over another. When these preferences give us an ordering on the decisions that is complete, then it is easy to choose the best or one of the best decisions. However it often occurs that the preferences relation is partially ordered, and we have no best decision. In this thesis, we look at what happens when we have such a partial order over a set of decisions, in particular when we have multiple orderings on a set of decisions, and we present a framework for qualitative decision making. We look at the different natural notions of optimal decision that occur in this framework, which gives us different optimality classes, and we examine the relationships between these classes. We then look in particular at a qualitative preference relation called Sorted-Pareto Dominance, which is an extension of Pareto Dominance, and we give a semantics for this relation as one that is compatible with any order-preserving mapping of an ordinal preference scale to a numerical one. We apply Sorted-Pareto dominance to a Soft Constraints setting, where we solve problems in which the soft constraints associate qualitative preferences to decisions in a decision problem. We also examine the Sorted-Pareto dominance relation in the context of our qualitative decision making framework, looking at the relevant optimality classes for the Sorted-Pareto case, which gives us classes of decisions that are necessarily optimal, and optimal for some choice of mapping of an ordinal scale to a quantitative one. We provide some empirical analysis of Sorted-Pareto constraints problems and examine the optimality classes that result.

Day-Ahead Optimal Charging/Discharging Scheduling for Electric Vehicles in Micro-Grids

A micro-grid is an autonomous system which can be operated and connected to an external system or isolated with the help of energy storage systems (ESSs). While the daily output of distributed generators (DGs) strongly depends on the temporal distribution of natural resources such as wind and solar, unregulated electric vehicle (EV) charging demand will deteriorate the imbalance between the daily load and generation curves. In this paper, a statistical model is presented to describe daily EV charging/discharging behaviour. An optimisation problem is proposed to obtain economic operation for the micro-grid based on this model. In day-ahead scheduling, with estimated information of power generation and load demand, optimal charging/discharging of EVs during 24 hours is obtained. A series of numerical optimization solutions in different scenarios is achieved by serial quadratic programming. The results show that optimal charging/discharging of EVs, a daily load curve can better track the generation curve and the network loss and required ESS capacity are both decreased. The paper also demonstrates cost benefits for EVs and operators.

Experimental design and batch experiments for optimization of Cr(VI) removal from aqueous solutions by hydrous cerium oxide nanoparticles

Hydrous cerium oxide (HCO) was synthesized by intercalation of solutions of cerium(III) nitrate and sodium hydroxide and evaluated as an adsorbent for the removal of hexavalent chromium from aqueous solutions. Simple batch experiments and a 2⁵ factorial experimental design were employed to screen the variables affecting Cr(VI) removal efficiency. The effects of the process variables; solution pH, initial Cr(VI) concentration, temperature, adsorbent dose and ionic strength were examined. Using the experimental results, a linear mathematical model representing the influence of the different variables and their interactions was obtained. Analysis of variance (ANOVA) demonstrated that Cr(VI) adsorption significantly increases with decreased solution pH, initial concentration and amount of adsorbent used (dose), but slightly decreased with an increase in temperature and ionic strength. The optimization study indicates 99% as the maximum removal at pH 2, 20 °C, 1.923 mM of metal concentration and a sorbent dose of 4 g/dm³. At these optimal conditions, Langmuir, Freundlich and Redlich–Peterson isotherm models were obtained. The maximum adsorption capacity of Cr(VI) adsorbed by HCO was 0.828 mmol/g, calculated by the Langmuir isotherm model. Desorption of chromium indicated that the HCO adsorbent can be regenerated using NaOH solution 0.1 M (up to 85%). The adsorption interactions between the surface sites of HCO and the Cr(VI) ions were found to be a combined effect of both anion exchange and surface complexation with the formation of an inner-sphere complex.

Regularization and Bang-bang conjugate times in optimal control

Consideramos o problema de controlo óptimo de tempo mínimo para sistemas de controlo mono-entrada e controlo afim num espaço de dimensão finita com condições inicial e final fixas, onde o controlo escalar toma valores num intervalo fechado. Quando aplicamos o método de tiro a este problema, vários obstáculos podem surgir uma vez que a função de tiro não é diferenciável quando o controlo é bang-bang. No caso bang-bang os tempos conjugados são teoricamente bem definidos para este tipo de sistemas de controlo, contudo os algoritmos computacionais directos disponíveis são de difícil aplicação. Por outro lado, no caso suave o conceito teórico e prático de tempos conjugados é bem conhecido, e ferramentas computacionais eficazes estão disponíveis. Propomos um procedimento de regularização para o qual as soluções do problema de tempo mínimo correspondente dependem de um parâmetro real positivo suficientemente pequeno e são definidas por funções suaves em relação à variável tempo, facilitando a aplicação do método de tiro simples. Provamos, sob hipóteses convenientes, a convergência forte das soluções do problema regularizado para a solução do problema inicial, quando o parâmetro real tende para zero. A determinação de tempos conjugados das trajectórias localmente óptimas do problema regularizado enquadra-se na teoria suave conhecida. Provamos, sob hipóteses adequadas, a convergência do primeiro tempo conjugado do problema regularizado para o primeiro tempo conjugado do problema inicial bang-bang, quando o parâmetro real tende para zero. Consequentemente, obtemos um algoritmo eficiente para a computação de tempos conjugados no caso bang-bang.

On the application of optimal control techniques in lossy fieldbuses

The performance of real-time networks is under continuous improvement as a result of several trends in the digital world. However, these tendencies not only cause improvements, but also exacerbates a series of unideal aspects of real-time networks such as communication latency, jitter of the latency and packet drop rate. This Thesis focuses on the communication errors that appear on such realtime networks, from the point-of-view of automatic control. Specifically, it investigates the effects of packet drops in automatic control over fieldbuses, as well as the architectures and optimal techniques for their compensation. Firstly, a new approach to address the problems that rise in virtue of such packet drops, is proposed. This novel approach is based on the simultaneous transmission of several values in a single message. Such messages can be from sensor to controller, in which case they are comprised of several past sensor readings, or from controller to actuator in which case they are comprised of estimates of several future control values. A series of tests reveal the advantages of this approach. The above-explained approach is then expanded as to accommodate the techniques of contemporary optimal control. However, unlike the aforementioned approach, that deliberately does not send certain messages in order to make a more efficient use of network resources; in the second case, the techniques are used to reduce the effects of packet losses. After these two approaches that are based on data aggregation, it is also studied the optimal control in packet dropping fieldbuses, using generalized actuator output functions. This study ends with the development of a new optimal controller, as well as the function, among the generalized functions that dictate the actuator’s behaviour in the absence of a new control message, that leads to the optimal performance. The Thesis also presents a different line of research, related with the output oscillations that take place as a consequence of the use of classic co-design techniques of networked control. The proposed algorithm has the goal of allowing the execution of such classical co-design algorithms without causing an output oscillation that increases the value of the cost function. Such increases may, under certain circumstances, negate the advantages of the application of the classical co-design techniques. A yet another line of research, investigated algorithms, more efficient than contemporary ones, to generate task execution sequences that guarantee that at least a given number of activated jobs will be executed out of every set composed by a predetermined number of contiguous activations. This algorithm may, in the future, be applied to the generation of message transmission patterns in the above-mentioned techniques for the efficient use of network resources. The proposed task generation algorithm is better than its predecessors in the sense that it is capable of scheduling systems that cannot be scheduled by its predecessor algorithms. The Thesis also presents a mechanism that allows to perform multi-path routing in wireless sensor networks, while ensuring that no value will be counted in duplicate. Thereby, this technique improves the performance of wireless sensor networks, rendering them more suitable for control applications. As mentioned before, this Thesis is centered around techniques for the improvement of performance of distributed control systems in which several elements are connected through a fieldbus that may be subject to packet drops. The first three approaches are directly related to this topic, with the first two approaching the problem from an architectural standpoint, whereas the third one does so from more theoretical grounds. The fourth approach ensures that the approaches to this and similar problems that can be found in the literature that try to achieve goals similar to objectives of this Thesis, can do so without causing other problems that may invalidate the solutions in question. Then, the thesis presents an approach to the problem dealt with in it, which is centered in the efficient generation of the transmission patterns that are used in the aforementioned approaches.

An efficient method for optimal location and sizing of fixed and switched shunt capacitors in large distribution systems

This paper proposes a computationally efficient methodology for the optimal location and sizing of static and switched shunt capacitors in large distribution systems. The problem is formulated as the maximization of the savings produced by the reduction in energy losses and the avoided costs due to investment deferral in the expansion of the network. The proposed method selects the nodes to be compensated, as well as the optimal capacitor ratings and their operational characteristics, i.e. fixed or switched. After an appropriate linearization, the optimization problem was formulated as a large-scale mixed-integer linear problem, suitable for being solved by means of a widespread commercial package. Results of the proposed optimizing method are compared with another recent methodology reported in the literature using two test cases: a 15-bus and a 33-bus distribution network. For the both cases tested, the proposed methodology delivers better solutions indicated by higher loss savings, which are achieved with lower amounts of capacitive compensation. The proposed method has also been applied for compensating to an actual large distribution network served by AES-Venezuela in the metropolitan area of Caracas. A convergence time of about 4 seconds after 22298 iterations demonstrates the ability of the proposed methodology for efficiently handling large-scale compensation problems.