arXiv subjects

John Lygeros

Publications and source records attributed to John Lygeros.

At least 217 records · Page 12Linked to original sources

arXiv2018

Nash and Wardrop equilibria in aggregative games with coupling constraints

We consider the framework of aggregative games, in which the cost function of each agent depends on his own strategy and on the average population strategy. As first contribution, we investigate the relations between the concepts of Nash and Wardrop equilibrium. By exploiting a characterization of the two equilibria as solutions of variational inequalities, we bound their distance with a decreasing function of the population size. As second contribution, we propose two decentralized algorithms that converge to such equilibria and are capable of coping with constraints coupling the strategies of different agents. Finally, we study the applications of charging of electric vehicles and of route choice on a road network.

eess.SY↗

arXiv2018

Ramp-Rate-Constrained Bidding of Energy and Frequency Reserves in Real Market Settings

The energetic flexibility of electric energy resources can be exploited when trading on wholesale energy and ancillary service markets. This paper considers the problem of a Balance Responsible Party to maximize its profit from trading on energy markets while simultaneously offering Secondary Frequency Reserves to the System Operator. However, the accurate provision of regulation power can be compromised by power ramp-rate limitations of the resources providing the service. To avoid this shortcoming, we take power ramp-rate constraints into account explicitly when computing optimal adjustable energy trading policies that are robust against uncertain activation of reserves. The approach proposed is applicable in real market settings because it models all the different timescales of the day-ahead, intra-day, and reserve markets. Finally, the effect of different market settings and energy trading policies on the amount of available Secondary Frequency Reserves is investigated.

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arXiv2018

A Convex Reformulation of the Robust Freeway Network Control Problem with Controlled Merging Junctions

In the freeway network control (FNC) problem, the operation of a traffic network is optimized using only flow control. For special cases of the FNC problem, in particular the case when all merging flows are controlled, there exist tight convex relaxations of the corresponding optimization problem. However, model uncertainty, in particular regarding the fundamental diagram and predictions of future traffic demand, can be a problem in practice. This uncertainty poses a challenge to control approaches that pursue a model- and optimization-based strategy. In this work, we propose a robust counterpart to the FNC problem, where we introduce uncertainty sets for both the fundamental diagram and future, external traffic demands and seek to optimize the system operation, minimizing the worst-case cost. For a network with controlled merging junctions, and assuming that certain technical conditions on the uncertainty sets are satisfied, we show that the robust counterpart of the FNC problem can be reduced to a convex, finite-dimensional and deterministic optimization problem, whose numerical solution is tractable.

math.OC↗

arXiv2018

Distributed Model Predictive Control for Linear Systems with Adaptive Terminal Sets

In this paper, we propose a distributed model predictive control (DMPC) scheme for linear time-invariant constrained systems which admit a separable structure. To exploit the merits of distributed computation algorithms, the stabilizing terminal controller, value function and invariant terminal set of the DMPC optimization problem need to respect the loosely coupled structure of the system. Although existing methods in the literature address this task, they typically decouple the synthesis of terminal controllers and value functions from the one of terminal sets. In addition, these approaches do not explicitly consider the effect of the current state of the system in the synthesis process. These limitations can lead the resulting DMPC scheme to poor performance since it may admit small or even empty terminal sets. Unlike other approaches, this paper presents a unified framework to encapsulate the synthesis of both the stabilizing terminal controller and invariant terminal set into the DMPC formulation. Conditions for Lyapunov stability and invariance are imposed in the synthesis problem in a way that allows the value function and invariant terminal set to admit the desired distributed structure. We illustrate the effectiveness of the proposed method on several examples including a benchmark spring-mass-damper problem.

math.OC↗

arXiv2017

Real-Time Control for Autonomous Racing Based on Viability Theory

In this paper we consider autonomous driving of miniature race cars. The viability kernel is used to efficiently generate finite look-ahead trajectories that maximize progress while remaining recursively feasible with respect to static obstacles (e.g., stay inside the track). Together with a low-level model predictive controller, this method makes real-time autonomous racing possible. The viability kernel computation is based on space discretization. To make the calculation robust against discretization errors, we propose a novel numerical scheme based on game theoretical methods, in particular the discriminating kernel. We show that the resulting algorithm provides an inner approximation of the viability kernel and guarantees that, for all states in the cell surrounding a viable grid point, there exists a control that keeps the system within the kernel. The performance of the proposed control method is studied in simulation where we determine the effects of various design choices and parameters and in experiments on an autonomous racing set-up maintained at the Automatic Control Laboratory of ETH Zurich. Both simulation and experimental results suggest that the more conservative approximation using the discriminating kernel results in safer driving style at the cost of a small increase in lap time.

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arXiv2017

Sufficient Optimality Conditions for Distributed, Non-Predictive Ramp Metering in the Monotonic Cell Transmission Model

We consider the ramp metering problem for a freeway stretch modeled by the Cell Transmission Model. Assuming perfect model knowledge and perfect traffic demand prediction, the ramp metering problem can be cast as a finite horizon optimal control problem with the objective of minimizing the Total Time Spent, i.e., the sum of the travel times of all drivers. For this reason, the application of Model Predictive Control (MPC) to the ramp metering problem has been proposed. However, practical tests on freeways show that MPC may not outperform simple, distributed feedback policies. Until now, a theoretical justification for this empirical observation was lacking. This work compares the performance of distributed, non-predictive policies to the optimal solution in an idealised setting, specifically, for monotonic traffic dynamics and assuming perfect model knowledge. To do so, we suggest a distributed, non-predictive policy and derive sufficient optimality conditions for the minimization of the Total Time Spent via monotonicity arguments. In a case study based on real-world traffic data, we demonstrate that these optimality conditions are only rarely violated. Moreover, we observe that the suboptimality resulting from such infrequent violations appears to be negligible. We complement this analysis with simulations in non-ideal settings, in particular allowing for model mismatch, and argue that Alinea, a successful, distributed ramp metering policy, comes close to the ideal controller both in terms of control behavior and in performance.

math.OC↗

arXiv2017

A distributed algorithm for average aggregative games with coupling constraints

We consider the framework of average aggregative games, where the cost function of each agent depends on his own strategy and on the average population strategy. We focus on the case in which the agents are coupled not only via their cost functions, but also via constraints coupling their strategies. We propose a distributed algorithm that achieves an almost Nash equilibrium by requiring only local communications of the agents, as specified by a sparse communication network. The proof of convergence of the algorithm relies on the auxiliary class of network aggregative games and exploits a novel result of parametric convergence of variational inequalities, which is applicable beyond the context of games. We apply our theoretical findings to a multi-market Cournot game with transportation costs and maximum market capacity.

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arXiv2017

The Linear Programming Approach to Reach-Avoid Problems for Markov Decision Processes

One of the most fundamental problems in Markov decision processes is analysis and control synthesis for safety and reachability specifications. We consider the stochastic reach-avoid problem, in which the objective is to synthesize a control policy to maximize the probability of reaching a target set at a given time, while staying in a safe set at all prior times. We characterize the solution to this problem through an infinite dimensional linear program. We then develop a tractable approximation to the infinite dimensional linear program through finite dimensional approximations of the decision space and constraints. For a large class of Markov decision processes modeled by Gaussian mixtures kernels we show that through a proper selection of the finite dimensional space, one can further reduce the computational complexity of the resulting linear program. We validate the proposed method and analyze its potential with a series of numerical case studies.

math.OC↗

arXiv2017

On Infinite Linear Programming and the Moment Approach to Deterministic Infinite Horizon Discounted Optimal Control Problems

We revisit the linear programming approach to deterministic, continuous time, infinite horizon discounted optimal control problems. In the first part, we relax the original problem to an infinite-dimensional linear program over a measure space and prove equivalence of the two formulations under mild assumptions, significantly weaker than those found in the literature until now. The proof is based on duality theory and mollification techniques for constructing approximate smooth subsolutions to the associated Hamilton-Jacobi-Bellman equation. In the second part, we assume polynomial data and use Lasserre's hierarchy of primal-dual moment-sum-of-squares semidefinite relaxations to approximate the value function and design an approximate optimal feedback controller. We conclude with an illustrative example.

math.OC↗

arXiv2017

Aggregation and Disaggregation of Energetic Flexibility from Distributed Energy Resources

A variety of energy resources has been identified as being flexible in their electric energy consumption or generation. This energetic flexibility can be used for various purposes such as minimizing energy procurement costs or providing ancillary services to power grids. To fully leverage the flexibility available from distributed small-scale resources, their flexibility must be quantified and aggregated. This paper introduces a generic and scalable approach for flexible energy systems to quantitatively describe and price their flexibility based on zonotopic sets. The description proposed allows aggregators to efficiently pool the flexibility of large numbers of systems and to make control and market decisions on the aggregate level. In addition, an algorithm is presented that distributes aggregate-level control decisions among the individual systems of the pool in an economically fair and computationally efficient way. Finally, it is shown how the zonotopic description of flexibility enables an efficient computation of aggregate regulation power bid-curves.

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arXiv2017

Computing the projected reachable set of switched affine systems: an application to systems biology

A fundamental question in systems biology is what combinations of mean and variance of the species present in a stochastic biochemical reaction network are attainable by perturbing the system with an external signal. To address this question, we show that the moments evolution in any generic network can be either approximated or, under suitable assumptions, computed exactly as the solution of a switched affine system. Motivated by this application, we propose a new method to approximate the reachable set of switched affine systems. A remarkable feature of our approach is that it allows one to easily compute projections of the reachable set for pairs of moments of interest, without requiring the computation of the full reachable set, which can be prohibitive for large networks. As a second contribution, we also show how to select the external signal in order to maximize the probability of reaching a target set. To illustrate the method we study a renown model of controlled gene expression and we derive estimates of the reachable set, for the protein mean and variance, that are more accurate than those available in the literature and consistent with experimental data.

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arXiv2017

An Integrated and Scalable Platform for Proactive Event-Driven Traffic Management

Traffic on freeways can be managed by means of ramp meters from Road Traffic Control rooms. Human operators cannot efficiently manage a network of ramp meters. To support them, we present an intelligent platform for traffic management which includes a new ramp metering coordination scheme in the decision making module, an efficient dashboard for interacting with human operators, machine learning tools for learning event definitions and Complex Event Processing tools able to deal with uncertainties inherent to the traffic use case. Unlike the usual approach, the devised event-driven platform is able to predict a congestion up to 4 minutes before it really happens. Proactive decision making can then be established leading to significant improvement of traffic conditions.

cs.AI↗

arXiv2017

From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming

We consider linear programming (LP) problems in infinite dimensional spaces that are in general computationally intractable. Under suitable assumptions, we develop an approximation bridge from the infinite-dimensional LP to tractable finite convex programs in which the performance of the approximation is quantified explicitly. To this end, we adopt the recent developments in two areas of randomized optimization and first order methods, leading to a priori as well as a posterior performance guarantees. We illustrate the generality and implications of our theoretical results in the special case of the long-run average cost and discounted cost optimal control problems for Markov decision processes on Borel spaces. The applicability of the theoretical results is demonstrated through a constrained linear quadratic optimal control problem and a fisheries management problem.

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arXiv2016

Strong Stationarity Conditions for Optimal Control of Hybrid Systems

We present necessary and sufficient optimality conditions for finite time optimal control problems for a class of hybrid systems described by linear complementarity models. Although these optimal control problems are difficult in general due to the presence of complementarity constraints, we provide a set of structural assumptions ensuring that the tangent cone of the constraints possesses geometric regularity properties. These imply that the classical Karush-Kuhn-Tucker conditions of nonlinear programming theory are both necessary and sufficient for local optimality, which is not the case for general mathematical programs with complementarity constraints. We also present sufficient conditions for global optimality. We proceed to show that the dynamics of every continuous piecewise affine system can be written as the optimizer of a mathematical program which results in a linear complementarity model satisfying our structural assumptions. Hence, our stationarity results apply to a large class of hybrid systems with piecewise affine dynamics. We present simulation results showing the substantial benefits possible from using a nonlinear programming approach to the optimal control problem with complementarity constraints instead of a more traditional mixed-integer formulation.

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arXiv2016

On Submodularity and Controllability in Complex Dynamical Networks

Controllability and observability have long been recognized as fundamental structural properties of dynamical systems, but have recently seen renewed interest in the context of large, complex networks of dynamical systems. A basic problem is sensor and actuator placement: choose a subset from a finite set of possible placements to optimize some real-valued controllability and observability metrics of the network. Surprisingly little is known about the structure of such combinatorial optimization problems. In this paper, we show that several important classes of metrics based on the controllability and observability Gramians have a strong structural property that allows for either efficient global optimization or an approximation guarantee by using a simple greedy heuristic for their maximization. In particular, the mapping from possible placements to several scalar functions of the associated Gramian is either a modular or submodular set function. The results are illustrated on randomly generated systems and on a problem of power electronic actuator placement in a model of the European power grid.

math.OC↗

arXiv2016

The Power of Diversity: Data-Driven Robust Predictive Control for Energy Efficient Buildings and Districts

The cooperative energy management of aggregated buildings has recently received a great deal of interest due to substantial potential energy savings. These gains are mainly obtained in two ways: (i) Exploiting the load shifting capabilities of the cooperative buildings; (ii) Utilizing the expensive but energy efficient equipment that is commonly shared by the building community (e.g., heat pumps, batteries and photovoltaics). Several deterministic and stochastic control schemes that strive to realize these savings, have been proposed in the literature. A common difficulty with all these methods is integrating knowledge about the disturbances affecting the system. In this context, the underlying disturbance distributions are often poorly characterized based on historical data. In this paper, we address this issue by exploiting the historical data to construct families of distributions which contain these underlying distributions with high confidence. We then employ tools from data-driven robust optimization to formulate a multistage stochastic optimization problem which can be approximated by a finite-dimensional linear program. The proposed method is suitable for tackling large scale systems since its complexity grows polynomially with respect to the system variables. We demonstrate its efficacy in a numerical study, in which it is shown to outperform, in terms of energy cost savings and constraint violations, established solution techniques from the literature. We conclude this study by showing the significant energy gains that are obtained by cooperatively managing a collection of buildings with heterogeneous characteristics.

math.OC↗

arXiv2016

Robust Optimal Control with Adjustable Uncertainty Sets

In this paper, we develop a unified framework for studying constrained robust optimal control problems with adjustable uncertainty sets. In contrast to standard constrained robust optimal control problems with known uncertainty sets, we treat the uncertainty sets in our problems as additional decision variables. In particular, given a finite prediction horizon and a metric for adjusting the uncertainty sets, we address the question of determining the optimal size and shape of the uncertainty sets, while simultaneously ensuring the existence of a control policy that will keep the system within its constraints for all possible disturbance realizations inside the adjusted uncertainty set. Since our problem subsumes the classical constrained robust optimal control design problem, it is computationally intractable in general. We demonstrate that by restricting the families of admissible uncertainty sets and control policies, the problem can be formulated as a tractable convex optimization problem. We show that our framework captures several families of (convex) uncertainty sets of practical interest, and illustrate our approach on a demand response problem of providing control reserves for a power system.

math.OC↗

arXiv2016

Capacity of Random Channels with Large Alphabets

We consider discrete memoryless channels with input alphabet size $n$ and output alphabet size $m$, where $m=$ceil$(γn)$ for some constant $γ>0$. The channel transition matrix consists of entries that, before being normalised, are independent and identically distributed nonnegative random variables $V$ and such that $E[(V \log V)^2]<\infty$. We prove that in the limit as $n\to \infty$ the capacity of such a channel converges to $Ent(V) / E[V]$ almost surely and in $L^2$, where $Ent(V):= E[V\log V]-E[V] \log E[V]$ denotes the entropy of $V$. We further show that, under slightly different model assumptions, the capacity of these random channels converges to this asymptotic value exponentially in $n$. Finally, we present an application in the context of Bayesian optimal experiment design.

cs.IT↗