Stochastic Nonlinear Model Predictive Control with Efficient Sample Approximation of Chance Constraints

This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost function in terms of expected values and higher moments of the states, and chance constraints that ensure probabilistic constraint satisfaction. The generalized polynomial chaos framework is used to propagate the time-invariant stochastic uncertainties through the nonlinear system dynamics, and to efficiently sample from the probability densities of the states to approximate the satisfaction probability of the chance constraints. To increase computational efficiency by avoiding excessive sampling, a statistical analysis is proposed to systematically determine a-priori the least conservative constraint tightening required at a given sample size to guarantee a desired feasibility probability of the sample-approximated chance constraint optimization problem. In addition, a method is presented for sample-based approximation of the analytic gradients of the chance constraints, which increases the optimization efficiency significantly. The proposed stochastic nonlinear model predictive control approach is applicable to a broad class of nonlinear systems with the sufficient condition that each term is analytic with respect to the states, and separable with respect to the inputs, states and parameters. The closed-loop performance of the proposed approach is evaluated using the Williams-Otto reactor with seven states, and ten uncertain parameters and initial conditions. The results demonstrate the efficiency of the approach for real-time stochastic model predictive control and its capability to systematically account for probabilistic uncertainties in contrast to a nonlinear model predictive control approaches.Comment: Submitted to Journal of Process Contro

Processing second-order stochastic dominance models using cutting-plane representations

This is the post-print version of the Article. The official published version can be accessed from the links below. Copyright @ 2011 Springer-VerlagSecond-order stochastic dominance (SSD) is widely recognised as an important decision criterion in portfolio selection. Unfortunately, stochastic dominance models are known to be very demanding from a computational point of view. In this paper we consider two classes of models which use SSD as a choice criterion. The first, proposed by Dentcheva and Ruszczyński (J Bank Finance 30:433–451, 2006), uses a SSD constraint, which can be expressed as integrated chance constraints (ICCs). The second, proposed by Roman et al. (Math Program, Ser B 108:541–569, 2006) uses SSD through a multi-objective formulation with CVaR objectives. Cutting plane representations and algorithms were proposed by Klein Haneveld and Van der Vlerk (Comput Manage Sci 3:245–269, 2006) for ICCs, and by Künzi-Bay and Mayer (Comput Manage Sci 3:3–27, 2006) for CVaR minimization. These concepts are taken into consideration to propose representations and solution methods for the above class of SSD based models. We describe a cutting plane based solution algorithm and outline implementation details. A computational study is presented, which demonstrates the effectiveness and the scale-up properties of the solution algorithm, as applied to the SSD model of Roman et al. (Math Program, Ser B 108:541–569, 2006).This study was funded by OTKA, Hungarian National Fund for Scientific Research, project 47340; by Mobile Innovation Centre, Budapest University of Technology, project 2.2; Optirisk Systems, Uxbridge, UK and by BRIEF (Brunel University Research Innovation and Enterprise Fund)

Chance-Constrained AC Optimal Power Flow Integrating HVDC Lines and Controllability

The integration of large-scale renewable generation has major implications on the operation of power systems, two of which we address in this work. First, system operators have to deal with higher degrees of uncertainty due to forecast errors and variability in renewable energy production. Second, with abundant potential of renewable generation in remote locations, there is an increasing interest in the use of High Voltage Direct Current lines (HVDC) to increase transmission capacity. These HVDC transmission lines and the flexibility and controllability they offer must be incorporated effectively and safely into the system. In this work, we introduce an optimization tool that addresses both challenges by incorporating the full AC power flow equations, chance constraints to address the uncertainty of renewable infeed, modelling of point-to-point HVDC lines, and optimized corrective control policies to model the generator and HVDC response to uncertainty. The main contributions are twofold. First, we introduce a HVDC line model and the corresponding HVDC participation factors in a chance-constrained AC-OPF framework. Second, we modify an existing algorithm for solving the chance-constrained AC-OPF to allow for optimization of the generation and HVDC participation factors. Using realistic wind forecast data, for 10 and IEEE 39 bus systems with HVDC lines and wind farms, we show that our proposed OPF formulation achieves good in- and out-of-sample performance whereas not considering uncertainty leads to high constraint violation probabilities. In addition, we find that optimizing the participation factors reduces the cost of uncertainty significantly