Data-driven linear decision rule approach for distributionally robust optimization of on-line signal control

We propose a two-stage, on-line signal control strategy for dynamic networks using a linear decision rule (LDR) approach and a distributionally robust optimization (DRO) technique. The first (off-line) stage formulates a LDR that maps real-time traffic data to optimal signal control policies. A DRO problem is solved to optimize the on-line performance of the LDR in the presence of uncertainties associated with the observed traffic states and ambiguity in their underlying distribution functions. We employ a data-driven calibration of the uncertainty set, which takes into account historical traffic data. The second (on-line) stage implements a very efficient linear decision rule whose performance is guaranteed by the off-line computation. We test the proposed signal control procedure in a simulation environment that is informed by actual traffic data obtained in Glasgow, and demonstrate its full potential in on-line operation and deployability on realistic networks, as well as its effectiveness in improving traffic

Graphical Models for Optimal Power Flow

Optimal power flow (OPF) is the central optimization problem in electric power grids. Although solved routinely in the course of power grid operations, it is known to be strongly NP-hard in general, and weakly NP-hard over tree networks. In this paper, we formulate the optimal power flow problem over tree networks as an inference problem over a tree-structured graphical model where the nodal variables are low-dimensional vectors. We adapt the standard dynamic programming algorithm for inference over a tree-structured graphical model to the OPF problem. Combining this with an interval discretization of the nodal variables, we develop an approximation algorithm for the OPF problem. Further, we use techniques from constraint programming (CP) to perform interval computations and adaptive bound propagation to obtain practically efficient algorithms. Compared to previous algorithms that solve OPF with optimality guarantees using convex relaxations, our approach is able to work for arbitrary distribution networks and handle mixed-integer optimization problems. Further, it can be implemented in a distributed message-passing fashion that is scalable and is suitable for "smart grid" applications like control of distributed energy resources. We evaluate our technique numerically on several benchmark networks and show that practical OPF problems can be solved effectively using this approach.Comment: To appear in Proceedings of the 22nd International Conference on Principles and Practice of Constraint Programming (CP 2016

Event-Driven Network Model for Space Mission Optimization with High-Thrust and Low-Thrust Spacecraft

Numerous high-thrust and low-thrust space propulsion technologies have been developed in the recent years with the goal of expanding space exploration capabilities; however, designing and optimizing a multi-mission campaign with both high-thrust and low-thrust propulsion options are challenging due to the coupling between logistics mission design and trajectory evaluation. Specifically, this computational burden arises because the deliverable mass fraction (i.e., final-to-initial mass ratio) and time of flight for low-thrust trajectories can can vary with the payload mass; thus, these trajectory metrics cannot be evaluated separately from the campaign-level mission design. To tackle this challenge, this paper develops a novel event-driven space logistics network optimization approach using mixed-integer linear programming for space campaign design. An example case of optimally designing a cislunar propellant supply chain to support multiple lunar surface access missions is used to demonstrate this new space logistics framework. The results are compared with an existing stochastic combinatorial formulation developed for incorporating low-thrust propulsion into space logistics design; our new approach provides superior results in terms of cost as well as utilization of the vehicle fleet. The event-driven space logistics network optimization method developed in this paper can trade off cost, time, and technology in an automated manner to optimally design space mission campaigns.Comment: 38 pages; 11 figures; Journal of Spacecraft and Rockets (Accepted); previous version presented at the AAS/AIAA Astrodynamics Specialist Conference, 201

A Behavioral Portfolio Analysis of Retirement Portfolios in Germany

To most individuals saving for retirement is the number one financial goal. However, it reveals a complex task and induces serious behavioral problems which cannot be explained by traditional economic theory. This paper investigates the role of behavioral asset selection on retirement portfolios in Germany. Simulated behavioral portfolios show (i) an impact of emotions since pessimism (optimism) induces the most conservative (aggressive) portfolio, (ii) concentrated portfolios with a large position in only one secure asset and a small position in a risky portfolio, and (iii) a large difference to mean-variance portfolios in terms of level of diversification. I conclude that behavioral portfolio theory has remarkably power in understanding, describing and selecting retirement portfolios in Germany. The results have several implication for financial planning, e.g. for an ``auto-pilot'' solution to encourage people to more retirement saving.behavioral portfolio choice, decision making under risk, retirement portfolios