Optimal Switching in Finite Horizon under State Constraints

We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated with this problem is the limit of value functions associated with unconstrained switching problems with penalized coefficients, as the penalization parameter goes to infinity. This convergence allows to set a dynamic programming principle for the constrained switching problem. We then prove that the value function is a solution to a system of variational inequalities (SVI for short) in the constrained viscosity sense. We finally prove that uniqueness for our SVI cannot hold and we give a weaker characterization of the value function as the maximal solution to this SVI. All our results are obtained without any regularity assumption on the constraint domain.Comment: 32 page

Some numerical methods for solving stochastic impulse control in natural gas storage facilities

The valuation of gas storage facilities is characterized as a stochastic impulse control problem with finite horizon resulting in Hamilton-Jacobi-Bellman (HJB) equations for the value function. In this context the two catagories of solving schemes for optimal switching are discussed in a stochastic control framework. We reviewed some numerical methods which include approaches related to partial differential equations (PDEs), Markov chain approximation, nonparametric regression, quantization method and some practitioners’ methods. This paper considers optimal switching problem arising in valuation of gas storage contracts for leasing the storage facilities, and investigates the recent developments as well as their advantages and disadvantages of each scheme based on dynamic programming principle (DPP

Reliability of Dynamic Load Scheduling with Solar Forecast Scenarios

This paper presents and evaluates the performance of an optimal scheduling algorithm that selects the on/off combinations and timing of a finite set of dynamic electric loads on the basis of short term predictions of the power delivery from a photovoltaic source. In the algorithm for optimal scheduling, each load is modeled with a dynamic power profile that may be different for on and off switching. Optimal scheduling is achieved by the evaluation of a user-specified criterion function with possible power constraints. The scheduling algorithm exploits the use of a moving finite time horizon and the resulting finite number of scheduling combinations to achieve real-time computation of the optimal timing and switching of loads. The moving time horizon in the proposed optimal scheduling algorithm provides an opportunity to use short term (time moving) predictions of solar power based on advection of clouds detected in sky images. Advection, persistence, and perfect forecast scenarios are used as input to the load scheduling algorithm to elucidate the effect of forecast errors on mis-scheduling. The advection forecast creates less events where the load demand is greater than the available solar energy, as compared to persistence. Increasing the decision horizon leads to increasing error and decreased efficiency of the system, measured as the amount of power consumed by the aggregate loads normalized by total solar power. For a standalone system with a real forecast, energy reserves are necessary to provide the excess energy required by mis-scheduled loads. A method for battery sizing is proposed for future work.Comment: 6 pager, 4 figures, Syscon 201

On control of discrete-time state-dependent jump linear systems with probabilistic constraints: A receding horizon approach

In this article, we consider a receding horizon control of discrete-time state-dependent jump linear systems, particular kind of stochastic switching systems, subject to possibly unbounded random disturbances and probabilistic state constraints. Due to a nature of the dynamical system and the constraints, we consider a one-step receding horizon. Using inverse cumulative distribution function, we convert the probabilistic state constraints to deterministic constraints, and obtain a tractable deterministic receding horizon control problem. We consider the receding control law to have a linear state-feedback and an admissible offset term. We ensure mean square boundedness of the state variable via solving linear matrix inequalities off-line, and solve the receding horizon control problem on-line with control offset terms. We illustrate the overall approach applied on a macroeconomic system