arXiv subjects

John Lygeros

Publications and source records attributed to John Lygeros.

At least 55 records · Page 3Linked to original sources

arXiv2025

Recursive Dynamic State Estimation for Power Systems with an Incomplete Nonlinear DAE Model

Power systems are highly complex, large-scale engineering systems subject to many uncertainties, which makes accurate mathematical modeling challenging. This paper proposes a novel, centralized dynamic state estimator for power systems that lack models of some components. Including the available dynamic evolution equations, algebraic network equations, and phasor measurements, we apply the least squares criterion to estimate all dynamic and algebraic states recursively. The approach results in an algorithm that generalizes the iterated extended Kalman filter and does not require static network observability. We further derive a graph theoretic condition for placing phasor measurement units that guarantees the uniqueness of the solution. A numerical study evaluates the performance under short circuits in the network and load changes and shows superior tracking performance compared to robust procedures from the literature within computational times that are feasible for real-time application.

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arXiv2025

Closed-Loop Finite-Time Analysis of Suboptimal Online Control

Suboptimal methods in optimal control arise due to a limited computational budget, unknown system dynamics, or a short prediction window among other reasons. Although these methods are ubiquitous, their transient performance remains relatively unstudied. We consider the control of discrete-time, nonlinear time-varying dynamical systems and establish sufficient conditions to analyze the finite-time closed-loop performance of such methods in terms of the additional cost incurred due to suboptimality. Finite-time guarantees allow the control design to distribute a limited computational budget over a time horizon and estimate the on-the-go loss in performance due to suboptimality. We study exponential incremental input-to-state stabilizing policies and show that for nonlinear systems, under some mild conditions, this property is directly implied by exponential stability without further assumptions on global smoothness. The analysis is showcased on a suboptimal model predictive control use case.

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arXiv2025

Loss-aware Pricing Strategies for Peer-to-Peer Energy Trading

Peer-to-peer(P2P) energy trading may increase efficiency and reduce costs, but introduces significant challenges for network operators such as maintaining grid reliability, accounting for network losses, and redistributing costs equitably. We propose a novel loss-aware pricing strategy for P2P energy markets that addresses these challenges while incentivizing participation in the cooperative energy trading market. The problem is formulated as a hierarchical Stackelberg game, where a grid operator determines network tariffs while prosumers optimize their trades based on these tariffs while guaranteeing that network constraints are satisfied. The algorithm is designed to minimize and recover their cost from the trading parties, while also minimizing the total cost of the hubs. The mechanism dynamically adjusts tariffs based on location and network topology, discouraging loss-intensive trades. Finally, the complete framework includes the computation of fair trading prices, ensuring all market participants benefit equitably. An ADMM-based hyper-gradient descent method is proposed for solving this problem. Extensive numerical simulations using the benchmark IEEE 33-bus system demonstrate significant cost reductions and improved network efficiency through reduction in network losses compared to constant tariff schemes. Results highlight the adaptability and scalability of the proposed mechanism to varying network configurations and size, demand profiles, and seasonal conditions.

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arXiv2025

Wasserstein Distributionally Robust Bayesian Optimization with Continuous Context

We address the challenge of sequential data-driven decision-making under context distributional uncertainty. This problem arises in numerous real-world scenarios where the learner optimizes black-box objective functions in the presence of uncontrollable contextual variables. We consider the setting where the context distribution is uncertain but known to lie within an ambiguity set defined as a ball in the Wasserstein distance. We propose a novel algorithm for Wasserstein Distributionally Robust Bayesian Optimization that can handle continuous context distributions while maintaining computational tractability. Our theoretical analysis combines recent results in self-normalized concentration in Hilbert spaces and finite-sample bounds for distributionally robust optimization to establish sublinear regret bounds that match state-of-the-art results. Through extensive comparisons with existing approaches on both synthetic and real-world problems, we demonstrate the simplicity, effectiveness, and practical applicability of our proposed method.

cs.LG↗

arXiv2025

Iterative Learning Predictive Control for Constrained Uncertain Systems

Iterative learning control (ILC) improves the performance of a repetitive system by learning from previous trials. ILC can be combined with Model Predictive Control (MPC) to mitigate non-repetitive disturbances, thus improving overall system performance. However, existing approaches either assume perfect model knowledge or fail to actively learn system uncertainties, leading to conservativeness. To address these limitations we propose a binary mixed-integer ILC scheme, combined with a convex MPC scheme, that ensures robust constraint satisfaction, non-increasing nominal cost, and convergence to optimal performance. Our scheme is designed for uncertain nonlinear systems subject to both bounded additive stochastic noise and additive uncertain components. We showcase the benefits of our scheme in simulation.

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arXiv2025

On the Regret of Recursive Methods for Discrete-Time Adaptive Control with Matched Uncertainty

Continuous-time adaptive controllers for systems with a matched uncertainty often comprise an online parameter estimator and a corresponding parameterized controller to cancel the uncertainty. However, such methods are often impossible to implement directly, as they depend on an unobserved estimation error. We consider the equivalent discrete-time setting with a causal information structure, and propose a novel, online proximal point method-based adaptive controller, that under a sufficient excitation (SE) condition is asymptotically stable and achieves finite regret, scaling only with the time required to fulfill the SE. We show the same also for the widely-used recursive least squares with exponential forgetting controller under a stronger persistence of excitation condition.

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arXiv2025

madupite: A High-Performance Distributed Solver for Large-Scale Markov Decision Processes

This paper introduces madupite, a high-performance distributed solver for large-scale Markov Decision Processes (MDPs). MDPs are widely used to model complex dynamical systems in various fields, including finance, epidemiology, and traffic control. However, real-world applications often result in extremely high-dimensional MDPs, leading to the curse of dimensionality, which is typically addressed through function approximators like neural networks. While existing solvers such as pymdptoolbox and mdpsolver provide tools for solving MDPs, they either lack scalability, support for distributed computing, or flexibility in solution methods. madupite is designed to overcome these limitations by leveraging modern high-performance computing resources. It efficiently distributes memory load and computation across multiple nodes, supports a diverse set of solution methods, and offers a user-friendly Python API while maintaining a C++ core for optimal performance. With the ability to solve MDPs with millions of states, madupite provides researchers and engineers with a powerful tool to tackle large-scale decision-making problems with greater efficiency and flexibility.

cs.DC↗

arXiv2025

Optimizing Social Network Interventions via Hypergradient-Based Recommender System Design

Although social networks have expanded the range of ideas and information accessible to users, they are also criticized for amplifying the polarization of user opinions. Given the inherent complexity of these phenomena, existing approaches to counteract these effects typically rely on handcrafted algorithms and heuristics. We propose an elegant solution: we act on the network weights that model user interactions on social networks (e.g., frequency of communication), to optimize a performance metric (e.g., polarization reduction), while users' opinions follow the classical Friedkin-Johnsen model. Our formulation gives rise to a challenging large-scale optimization problem with non-convex constraints, for which we develop a gradient-based algorithm. Our scheme is simple, scalable, and versatile, as it can readily integrate different, potentially non-convex, objectives. We demonstrate its merit by: (i) rapidly solving complex social network intervention problems with 3 million variables based on the Reddit and DBLP datasets; (ii) significantly outperforming competing approaches in terms of both computation time and disagreement reduction.

cs.SI↗

arXiv2025

Optimal PMU Placement for Kalman Filtering of DAE Power System Models

Optimal sensor placement is essential for minimizing costs and ensuring accurate state estimation in power systems. This paper introduces a novel method for optimal sensor placement for dynamic state estimation of power systems modeled by differential-algebraic equations. The method identifies optimal sensor locations by minimizing the steady-state covariance matrix of the Kalman filter, thus minimizing the error of joint differential and algebraic state estimation. The problem is reformulated as a mixed-integer semidefinite program and effectively solved using off-the-shelf numerical solvers. Numerical results demonstrate the merits of the proposed approach by benchmarking its performance in phasor measurement unit placement in comparison to greedy algorithms.

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arXiv2025

Secure Data Reconstruction: A Direct Data-Driven Approach

This paper addresses the problem of secure data reconstruction for unknown systems, where data collected from the system are susceptible to malicious manipulation. We aim to recover the real trajectory without prior knowledge of the system model. To achieve this, a behavioral language is used to represent the system, describing it using input/output trajectories instead of state-space models. We consider two attack scenarios. In the first scenario, up to $k$ entries of the collected data are malicious. On the other hand, the second scenario assumes that at most $k$ channels from sensors or actuators can be compromised, implying that any data collected from these channels might be falsified. For both scenarios, we formulate the trajectory recovery problem as an optimization problem and introduce sufficient conditions to ensure successful recovery of the true data. Since finding exact solutions to these problems can be computationally inefficient, we further approximate them using an $\ell_1$-norm and group Least Absolute Shrinkage and Selection Operator (LASSO). We demonstrate that under certain conditions, these approximation problems also find the true trajectory while maintaining low computation complexity. Finally, we extend the proposed algorithms to noisy data. By reconstructing the secure trajectory, this work serves as a safeguard mechanism for subsequent data-driven control methods.

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arXiv2025

Semismooth Newton Methods for Risk-Averse Markov Decision Processes

Inspired by semismooth Newton methods, we propose a general framework for designing solution methods with convergence guarantees for risk-averse Markov decision processes. Our approach accommodates a wide variety of risk measures by leveraging the assumption of Markovian coherent risk measures. To demonstrate the versatility and effectiveness of this framework, we design three distinct solution methods, each with proven convergence guarantees and competitive empirical performance. Validation results on benchmark problems demonstrate the competitive performance of our methods. Furthermore, we establish that risk-averse policy iteration can be interpreted as an instance of semismooth Newton's method. This insight explains its superior convergence properties compared to risk-averse value iteration. The core contribution of our work, however, lies in developing an algorithmic framework inspired by semismooth Newton methods, rather than evaluating specific risk measures or advocating for risk-averse approaches over risk-neutral ones in particular applications.

math.OC↗

arXiv2024

Operator Splitting for Convex Constrained Markov Decision Processes

We consider finite Markov decision processes (MDPs) with convex constraints and known dynamics. In principle, this problem is amenable to off-the-shelf convex optimization solvers, but typically this approach suffers from poor scalability. In this work, we develop a first-order algorithm, based on the Douglas-Rachford splitting, that allows us to decompose the dynamics and constraints. Thanks to this decoupling, we can incorporate a wide variety of convex constraints. Our scheme consists of simple and easy-to-implement updates that alternate between solving a regularized MDP and a projection. The inherent presence of regularized updates ensures last-iterate convergence, numerical stability, and, contrary to existing approaches, does not require us to regularize the problem explicitly. If the constraints are not attainable, we exploit salient properties of the Douglas-Rachord algorithm to detect infeasibility and compute a policy that minimally violates the constraints. We demonstrate the performance of our algorithm on two benchmark problems and show that it compares favorably to competing approaches.

math.OC↗

arXiv2024

A Proportional-Integral Model for Fractional Voltage Tripping of Distributed Energy Resources

In regions with high shares of distributed energy resources (DERs), massive disconnection of small-scale DERs in low-voltage distribution grids during disturbances poses a serious threat to power system security. However, modeling this effect in a computationally efficient way remains challenging. This paper proposes a novel proportional-integral aggregate model for predicting the fraction of tripped DERs based on the voltage at the substation connection point. The model effectively captures the cumulative behavior of the system, is simple to implement, and includes seven parameters for undervoltage tripping and seven for overvoltage tripping behavior, each with a distinct physical meaning. We further propose an optimization-based approach to tune the model parameters. Simulation results show significantly more accurate predictions compared to the DER\_A model -- a standard dynamic model for aggregate DER behavior -- even when the latter is optimized, with only a minor increase in model complexity.

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arXiv2024

BP-MPC: Optimizing the Closed-Loop Performance of MPC using BackPropagation

Model predictive control (MPC) is pervasive in research and industry. However, designing the cost function and the constraints of the MPC to maximize closed-loop performance remains an open problem. To achieve optimal tuning, we propose a backpropagation scheme that solves a policy optimization problem with nonlinear system dynamics and MPC policies. We enforce the system dynamics using linearization and allow the MPC problem to contain elements that depend on the current system state and on past MPC solutions. Moreover, we propose a simple extension that can deal with losses of feasibility. Our approach, unlike other methods in the literature, enjoys convergence guarantees.

math.OC↗

arXiv2024

Computing Optimal Joint Chance Constrained Control Policies

We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of the joint chance constraints, which calls for non-Markovian, and possibly stochastic, policies. Hence, despite the popularity of this problem, solution approaches capable of providing provably-optimal and easy-to-compute policies are still missing. We fill this gap by augmenting the dynamics via a binary state, allowing us to characterize the optimal policies and develop a Dynamic Programming based solution method.

math.OC↗

arXiv2024

Iterative Learning Control for Ramp Metering on Service Station On-ramps

Congestion on highways has become a significant social problem due to the increasing number of vehicles, leading to considerable waste of time and pollution. Regulating the outflow from the Service Station can help alleviate this congestion. Notably, traffic flows follow recurring patterns over days and weeks, allowing for the application of Iterative Learning Control (ILC). Building on these insights, we propose an ILC approach based on the Cell Transmission Model with service stations (CTM-s). It is shown that ILC can effectively compensate for potential inaccuracies in model parameter estimates by leveraging historical data.

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arXiv2024

Online Linear Quadratic Tracking with Regret Guarantees

Online learning algorithms for dynamical systems provide finite time guarantees for control in the presence of sequentially revealed cost functions. We pose the classical linear quadratic tracking problem in the framework of online optimization where the time-varying reference state is unknown a priori and is revealed after the applied control input. We show the equivalence of this problem to the control of linear systems subject to adversarial disturbances and propose a novel online gradient descent based algorithm to achieve efficient tracking in finite time. We provide a dynamic regret upper bound scaling linearly with the path length of the reference trajectory and a numerical example to corroborate the theoretical guarantees.

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arXiv2024

Safe Time-Varying Optimization based on Gaussian Processes with Spatio-Temporal Kernel

Ensuring safety is a key aspect in sequential decision making problems, such as robotics or process control. The complexity of the underlying systems often makes finding the optimal decision challenging, especially when the safety-critical system is time-varying. Overcoming the problem of optimizing an unknown time-varying reward subject to unknown time-varying safety constraints, we propose TVSafeOpt, a new algorithm built on Bayesian optimization with a spatio-temporal kernel. The algorithm is capable of safely tracking a time-varying safe region without the need for explicit change detection. Optimality guarantees are also provided for the algorithm when the optimization problem becomes stationary. We show that TVSafeOpt compares favorably against SafeOpt on synthetic data, both regarding safety and optimality. Evaluation on a realistic case study with gas compressors confirms that TVSafeOpt ensures safety when solving time-varying optimization problems with unknown reward and safety functions.

cs.LG↗