Automatic Scenario Generation for Robust Optimal Control Problems

Existing methods for nonlinear robust control often use scenario-based approaches to formulate the control problem as nonlinear optimization problems. Increasing the number of scenarios improves robustness while increasing the size of the optimization problems. Mitigating the size of the problem by reducing the number of scenarios requires knowledge about how the uncertainty affects the system. This paper draws from local reduction methods used in semi-infinite optimization to solve robust optimal control problems with parametric uncertainty. We show that nonlinear robust optimal control problems are equivalent to semi-infinite optimization problems and can be solved by local reduction. By iteratively adding interim globally worst-case scenarios to the problem, methods based on local reduction provide a way to manage the total number of scenarios. In particular, we show that local reduction methods find worst-case scenarios that are not on the boundary of the uncertainty set. The proposed approach is illustrated with a case study with both parametric and additive time-varying uncertainty. The number of scenarios obtained from local reduction is 101, smaller than in the case when all 2 14+3×192 boundary scenarios are considered. A validation with randomly-drawn scenarios shows that our proposed approach reduces the number of scenarios and ensures robustness even if local solvers are used

A New Method for Generating Safe Motions for Humanoid Robots

International audienceThis paper introduces a new method for planning safe motions for complex systems such as humanoid robots. Motion planning can be seen as a Semi-Infinite Programming problem (SIP) since it involves a finite number of variables over an infinite set of constraints. Most methods solve the SIP problem by transforming it into a finite programming one by using a discretization over a prescribed grid. We show that this approach is risky because it can lead to motions which violate one or several constraints. Then we introduce our new method for planning safe motions. It uses Interval Analysis techniques in order to achieve a safe discretization of the constraints. We show how to implement this method and use it with state-of-the-art constrained optimization packages. Then, we illustrate its capabilities for planning safe motions for the HOAP-3 humanoid robot

A model predictive control approach to a class of multiplayer minmax differential games

In this dissertation, we consider a class of two-team adversarial differential games in which there are multiple mobile dynamic agents on each team. We describe such games in terms of semi-infinite minmax Model Predictive Control (MPC) problems, and present a numerical optimization technique for efficiently solving them. We also describe the implementation of the solution method in both indoor and outdoor robotic testbeds. Our solution method requires one to solve a sequence of Quadratic Programs (QPs), which together efficiently solve the original semi-infinite min- max MPC problem. The solution method separates the problem into two subproblems called the inner and outer subproblems, respectively. The inner subproblem is based on a constrained nonlinear numerical optimization technique called the Phase I-Phase II method, and we develop a customized version of this method. The outer subproblem is about judiciously initializing the inner subproblems to achieve overall convergence; our method guarantees exponential convergence. We focus on a specific semi-infinite minmax MPC problem called the harbor defense problem. First, we present foundational work on this problem in a formulation containing a single defender and single intruder. We next extend the basic formulation to various advanced scenarios that include cases in which there are multiple defenders and intruders, and also ones that include varying assumptions about intruder strategies. Another main contribution is that we implemented our solution method for the harbor defense problem on both real-time indoor and outdoor testbeds, and demonstrated its computational effectiveness. The indoor testbed is a custom-built robotic testbed named HoTDeC (Hovercraft Testbed for Decentralized Control). The outdoor testbed involved full-sized US Naval Academy patrol ships, and the experiment was conducted in Chesapeake Bay in collaboration with the US Naval Academy. The scenario used involved one ship (the intruder) being commanded by a human pilot, and the defender ship being controlled automatically by our semi-infinite minmax MPC algorithm.The results of several experiments are presented. Finally, we present an efficient algorithm for solving a class of matrix games, and show how this approach can be directly used to effectively solve our original continuous space semi-infinite minmax problem using an adaptive approximation

Disjunctive Aspects in Generalized Semi-infinite Programming

In this thesis the close relationship between generalized semi-infinite problems (GSIP) and disjunctive problems (DP) is considered. We start with the description of some optimization problems from timber industry and illustrate how GSIPs and DPs arise naturally in that field. Three different applications are reviewed. Next, theory and solution methods for both types of problems are examined. We describe a new possibility to model disjunctive optimization problems as generalized semi-infinite programs. Applying existing lower level reformulations for the obtained semi-infinite program we derive conjunctive nonlinear problems without any logical expressions, which can be locally solved by standard nonlinear solvers. In addition to this local solution procedure we propose a new branch-and-bound framework for global optimization of disjunctive programs. In contrast to the widely used reformulation as a mixed-integer program, we compute the lower bounds and evaluate the logical expression in one step. Thus, we reduce the size of the problem and work exclusively with continuous variables, which is computationally advantageous. In contrast to existing methods in disjunctive programming, none of our approaches expects any special formulation of the underlying logical expression. Where applicable, under slightly stronger assumptions, even the use of negations and implications is allowed. Our preliminary numerical results show that both procedures, the reformulation technique as well as the branch-and-bound algorithm, are reasonable methods to solve disjunctive optimization problems locally and globally, respectively. In the last part of this thesis we propose a new branch-and-bound algorithm for global minimization of box-constrained generalized semi-infinite programs. It treats the inherent disjunctive structure of these problems by tailored lower bounding procedures. Three different possibilities are examined. The first one relies on standard lower bounding procedures from conjunctive global optimization. The second and the third alternative are based on linearization techniques by which we derive linear disjunctive relaxations of the considered sub-problems. Solving these by either mixed-integer linear reformulations or, alternatively, by disjunctive linear programming techniques yields two additional possibilities. Our numerical results on standard test problems with these three lower bounding procedures show the merits of our approach

Safe Motion Planning Computation for Databasing Balanced Movement of Humanoid Robots

International audienceMotion databasing is an important topic in robotics research. Humanoid robots have a large number of degrees of freedom and their motions have to satisfy a set of constraints (balance, maximal joint torque velocity and angle values). Thus motion planning cannot efficiently be done on-line. The computation of optimal motions is performed off-line to create databases that transform the problem of large computation time into a problem of large memory space. Motion planning can be seen as a Semi-Infinite Programming problem (SIP) since it involves a finite number of variables over an infinite set of constraints. Most methods solve the SIP problem by transforming it into a finite programming one using a discretization over a prescribed grid. We show that this approach is risky because it can lead to motions which may violate one or several constraints. Then we introduce our new method for planning safe motions. It uses Interval Analysis techniques in order to achieve a safe discretization of the constraints. We show how to implement this method and use it with state-of-the-art constrained optimization packages. Then, we illustrate its capabilities for planning safe motions dedicated to the HOAP-3 humanoid robot

Semidefinite relaxations for semi-infinite polynomial programming

This paper studies how to solve semi-infinite polynomial programming (SIPP) problems by semidefinite relaxation method. We first introduce two SDP relaxation methods for solving polynomial optimization problems with finitely many constraints. Then we propose an exchange algorithm with SDP relaxations to solve SIPP problems with compact index set. At last, we extend the proposed method to SIPP problems with noncompact index set via homogenization. Numerical results show that the algorithm is efficient in practice.Comment: 23 pages, 4 figure

A method for pricing American options using semi-infinite linear programming

We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these functions. The resulting problem is a linear semi-infinite programming problem, that can be solved using standard algorithms. This leads to good upper bounds for the original problem. For our algorithms no discretization of space and time and no simulation is necessary. Furthermore it is applicable even for high-dimensional problems. The algorithm provides an approximation of the value not only for one starting point, but for the complete value function on the continuation set, so that the optimal exercise region and e.g. the Greeks can be calculated. We apply the algorithm to (one- and) multidimensional diffusions and to L\'evy processes, and show it to be fast and accurate