157,632 research outputs found
Constrained optimization under uncertainty for decision-making problems: Application to Real-Time Strategy games
Decision-making problems can be modeled as combinatorial optimization
problems with Constraint Programming formalisms such as Constrained
Optimization Problems. However, few Constraint Programming formalisms can deal
with both optimization and uncertainty at the same time, and none of them are
convenient to model problems we tackle in this paper.
Here, we propose a way to deal with combinatorial optimization problems under
uncertainty within the classical Constrained Optimization Problems formalism by
injecting the Rank Dependent Utility from decision theory. We also propose a
proof of concept of our method to show it is implementable and can solve
concrete decision-making problems using a regular constraint solver, and
propose a bot that won the partially observable track of the 2018 {\mu}RTS AI
competition.
Our result shows it is possible to handle uncertainty with regular Constraint
Programming solvers, without having to define a new formalism neither to
develop dedicated solvers. This brings new perspective to tackle uncertainty in
Constraint Programming.Comment: Published at the 2019 IEEE Congress on Evolutionary Computation
(CEC'19
A decomposition strategy for decision problems with endogenous uncertainty using mixed-integer programming
Despite methodological advances for modeling decision problems under
uncertainty, faithfully representing endogenous uncertainty still proves
challenging, both in terms of modeling capabilities and computational
requirements. A novel framework called Decision Programming provides an
approach for solving such decision problems using off-the-shelf mathematical
optimization solvers. This is made possible by using influence diagrams to
represent a given decision problem, which is then formulated as a mixed-integer
linear programming problem.
In this paper, we focus on the type of endogenous uncertainty that received
less attention in the introduction of Decision Programming: conditionally
observed information. Multi-stage stochastic programming (MSSP) models use
conditional non-anticipativity constraints (C-NACs) to represent such
uncertainties, and we show how such constraints can be incorporated into
Decision Programming models. This allows us to consider the two main types of
endogenous uncertainty simultaneously, namely decision-dependent information
structure and decision-dependent probability distribution. Additionally, we
present a decomposition approach that provides significant computational
savings and also enables considering continuous decision variables in certain
parts of the problem, whereas the original formulation was restricted to
discrete variables only.
The extended framework is illustrated with two example problems. The first
considers an illustrative multiperiod game and the second is a large-scale
cost-benefit problem regarding climate change mitigation. Neither of these
example problems could be solved with existing frameworks.Comment: 26 pages, 10 figure
Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data
We consider stochastic optimization under distributional uncertainty, where
the unknown distributional parameter is estimated from streaming data that
arrive sequentially over time. Moreover, data may depend on the decision of the
time when they are generated. For both decision-independent and
decision-dependent uncertainties, we propose an approach to jointly estimate
the distributional parameter via Bayesian posterior distribution and update the
decision by applying stochastic gradient descent on the Bayesian average of the
objective function. Our approach converges asymptotically over time and
achieves the convergence rates of classical SGD in the decision-independent
case. We demonstrate the empirical performance of our approach on both
synthetic test problems and a classical newsvendor problem
Probabilistic engineering analysis and design under time-dependent uncertainty
Time-dependent uncertainties, such as time-variant stochastic loadings and random deterioration of material properties, are inherent in engineering applications. Not considering these uncertainties in the design process may result in catastrophic failures after the designed products are put into operation. Although significant progress has been made in probabilistic engineering design, quantifying and mitigating the effects of time-dependent uncertainty is still challenging. This dissertation aims to help build high reliability into products under time-dependent uncertainty by addressing two research issues. The first one is to efficiently and accurately predict the time-dependent reliability while the second one is to effectively design the time-dependent reliability into the product. For the first research issue, new time-dependent reliability analysis methodologies are developed, including the joint upcrossing rate method, the surrogate model method, the global efficient optimization, and the random field approach. For the second research issue, a time-dependent sequential optimization and reliability analysis method is proposed. The developed approaches are applied to the reliability analysis of designing a hydrokinetic turbine blade subjected to stochastic river flow loading. Extension of the proposed methods to the reliability analysis with mixture of random and interval variables is also a contribution of this dissertation. The engineering examples tested in in this work demonstrate that the proposed time-dependent reliability methods can improve the efficiency and accuracy more than 100% and that high reliability can be successfully built into products with the proposed method. The research results can benefit a wide range of areas, such as life cycle cost optimization and decision making --Abstract, page iv
Constant Depth Decision Rules for multistage optimization under uncertainty
In this paper, we introduce a new class of decision rules, referred to as
Constant Depth Decision Rules (CDDRs), for multistage optimization under linear
constraints with uncertainty-affected right-hand sides. We consider two
uncertainty classes: discrete uncertainties which can take at each stage at
most a fixed number d of different values, and polytopic uncertainties which,
at each stage, are elements of a convex hull of at most d points. Given the
depth mu of the decision rule, the decision at stage t is expressed as the sum
of t functions of mu consecutive values of the underlying uncertain parameters.
These functions are arbitrary in the case of discrete uncertainties and are
poly-affine in the case of polytopic uncertainties. For these uncertainty
classes, we show that when the uncertain right-hand sides of the constraints of
the multistage problem are of the same additive structure as the decision
rules, these constraints can be reformulated as a system of linear inequality
constraints where the numbers of variables and constraints is O(1)(n+m)d^mu N^2
with n the maximal dimension of control variables, m the maximal number of
inequality constraints at each stage, and N the number of stages.
As an illustration, we discuss an application of the proposed approach to a
Multistage Stochastic Program arising in the problem of hydro-thermal
production planning with interstage dependent inflows. For problems with a
small number of stages, we present the results of a numerical study in which
optimal CDDRs show similar performance, in terms of optimization objective, to
that of Stochastic Dual Dynamic Programming (SDDP) policies, often at much
smaller computational cost
Адаптивне керування слабкокерованими марковськими та напівмарковськими моделями в дискретному часі
Досліджується байєсів підхід до проблеми марковських процесів рішень в умовах стохастичної невизначеності, коли невідомі перехідні ймовірності слабко збурені, і тільки збурення залежать від стратегії рішень. Процес рішень припускається стаціонарним, розглядається в дискретному часі з скінченним, зчисленним або вимірним фазовим простором і ґрунтується на принципі розділення задач оцінювання та оптимізації.Исследуется байесов подход к проблеме марковских процессов решений в условиях стохастической неопределенности, когда неизвестные переходные вероятности слабо возмущены, и только возмущения зависят от стратегии решений. Процесс решений предполагается стационарным в дискретном времени с конечным, счетным или измеримым фазовым пространством и базируется на принципе разделения задач оценивания и оптимизации.A Bayesian approach to Markov decision process problem under stochastic uncertainty, when unknown transition probabilities are weakly disturbed with disturbances dependent on a decision strategy only is investigated. Observed decision process is assumed to be stationary in discrete time with finite, countable or measurable phase state is based on separation principle of assessment and optimization problems
Efficient time-dependent system reliability analysis
Engineering systems are usually subjected to time-variant loads and operate under time-dependent uncertainty; system performances are therefore time-dependent. Accurate and efficient estimate of system reliability is crucial for decision makings on system design, lifetime cost estimate, maintenance strategy, etc. Although significant progresses have been made in time-independent reliability analysis for components and systems, time-dependent system reliability methodologies are still limited. This dissertation is motivated by the need of accurate and effective reliability prediction for engineering systems under time-dependent uncertainty. Based on the classic First and Second Order Reliability Method (FORM and SORM), a system reliability method is developed for multidisciplinary systems involving stationary stochastic processes. A dependent Kriging method is also developed for general components. This method accounts for dependent responses from surrogate models and is therefore more accurate than existing Kriging Monte Carlo simulation methods that neglect the dependence between responses. The extension of the dependent Kriging method to systems is also a contribution of this dissertation. To overcome the difficulty of obtaining extreme value distributions and get rid of global optimization with a double-loop procedure, a Kriging surrogate modeling method is also proposed. This method provides a new perspective of surrogate modeling for time-dependent systems and is applicable to general systems having random variables, time, and stochastic processes. The proposed methods are evaluated through a wide range of engineering systems, including a compound cylinders system, a liquid hydrogen fuel tank, function generator mechanisms, slider-crank mechanisms, and a Daniels system --Abstract, page iv
Option valuation of smart grid technology projects under endogenous and exogenous uncertainty
Electricity demand and renewables penetration are set to increase worldwide over the coming decades as part of the global decarbonisation effort. As a result, distribution networks are expected to face challenges related to increased peaks and undesirable voltage excursions. Hence, significant network reinforcements may be required over the next decades. However, a very significant challenge in realizing this transition is the increased uncertainty that surrounds future distributed generation and load connections in terms of size, location and timing. This uncertainty inadvertently will give rise to the prospect of inefficient investments and stranded assets given that current planning practices remain deterministic. It follows that new planning frameworks are needed that allow the quantification of option value and achieve reduction of stranding risk by encouraging cost-efficient strategic investments through smart technologies under both endogenous and exogenous sources of uncertainty.
This thesis presents multi-epoch stochastic optimization models, for the distribution network planning problem, that consider a set of investment options with different techno-economical characteristics so as to reflect the multitude of choices available to planners in a realistic setting characterized by endogenous or exogenous uncertainty. These optimization models are rendered tractable through the use of novel decomposition schemes that effectively help manage the associated increased computational burden. The corresponding simulation results validate that smart technologies constitute valuable options for enabling cost effective integration of distributed generation units and underline the importance of early investment in such assets under decision-dependent uncertainty. In addition, the results emphasize that deterministic approaches systematically undervalue the flexibility that smart assets provide, thereby posing a barrier to the advent of the flexible smart grid paradigm.Open Acces
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