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Marta Fochesato

Publications and source records attributed to Marta Fochesato.

13 recordsLinked to original sources

Joint Chance Constrained Safe-Optimal Control

We consider the finite-time optimal control of stochastic systems subject to a probabilistic constraint on the trajectories' safety. Such formulations are known as joint chance constrained optimal control problems. The common practice is to jointly minimise the expected cost of all trajectories, safe and unsafe. This leads to policies which invite constraint violations to exploit low-cost unsafe trajectories. When constraints represent states of critical failure, such behaviour is undesirable. We demonstrate that this behaviour can be overcome by only minimizing the expected cost of safe trajectories. The underlying rationale follows a practical intuition: In many applications, the cost incurred by unsafe trajectories is irrelevant (e.g., the battery usage of a crashed quadcopter), and one is usually interested in minimizing the cost of trajectories that are safe. We show that this problem can be cast as a constrained Markov Decision Process over an augmented state space. This allows solving it via dynamic programming. We derive bounds on the policies' safety under errors resulting from gridding approximations when the system's state space is continuous. Finally, we empirically compare dynamic programming as well as reinforcement learning solutions on a simulated 2D unicycle system in cluttered reach-avoid environments.

math.OC

Distributionally Robust Optimization over Wasserstein Balls with i.i.d. Structure

We consider distributionally robust optimization problems where the uncertainty is modeled via a structured Wasserstein ambiguity set. Specifically, the ambiguity is restricted to product measures $P^{\otimes N}$, where $P$ lies within a Wasserstein ball centered at an empirical distribution $\widehat{P}$. This structure reflects the assumption of independent and identically distributed (i.i.d.) uncertainty components and yields a non-convex ambiguity set that is strictly contained in its unstructured counterpart, thereby reducing conservatism. The resulting optimization problem is generally intractable due to the loss of convexity. We address this by introducing a sequence of tractable convex relaxations, each admitting strong duality, and prove that this sequence converges to the original problem value under suitable conditions. Numerical examples are provided to illustrate the effectiveness of the proposed approach. As a byproduct of our proofs, we establish a novel formula, of independent interest, relating the Wasserstein distance of a mixture of product distributions to the Wasserstein distance between its constituent measures.

math.OC

Learn to Bid as a Price-Maker Wind Power Producer

Wind power producers (WPPs) participating in short-term power markets face significant imbalance costs due to their non-dispatchable and variable production. While some WPPs have a large enough market share to influence prices with their bidding decisions, existing optimal bidding methods rarely account for this aspect. Price-maker approaches typically model bidding as a bilevel optimization problem, but these methods require complex market models, estimating other participants' actions, and are computationally demanding. To address these challenges, we propose an online learning algorithm that leverages contextual information to optimize WPP bids in the price-maker setting. We formulate the strategic bidding problem as a contextual multi-armed bandit, ensuring provable regret minimization. The algorithm's performance is evaluated against various benchmark strategies using a numerical simulation of the German day-ahead and real-time markets.

cs.LG

Loss-aware distributionally robust optimization via trainable optimal transport ambiguity sets

Optimal-Transport Distributionally Robust Optimization (OT-DRO) robustifies data-driven decision-making under uncertainty by capturing the sampling-induced statistical error via optimal transport ambiguity sets. The standard OT-DRO pipeline consists of a two-step procedure, where the ambiguity set is first designed and subsequently embedded into the downstream OT-DRO problem. However, this separation between uncertainty quantification and optimization might result in excessive conservatism. We introduce an end-to-end pipeline to automatically learn decision-focused ambiguity sets for OT-DRO problems, where the loss function informs the shape of the optimal transport ambiguity set, leading to less conservative yet distributionally robust decisions. We formulate the learning problem as a bilevel optimization program and solve it via a hypergradient-based method. By leveraging the recently introduced nonsmooth conservative implicit function theorem, we establish convergence to a critical point of the bilevel problem. We present experiments validating our method on standard portfolio optimization and linear regression tasks.

math.OC

Distributionally Robust LQG with Kullback-Leibler Ambiguity Sets

The Linear Quadratic Gaussian (LQG) controller is known to be inherently fragile to model misspecifications common in real-world situations. We consider discrete-time partially observable stochastic linear systems and provide a robustification of the standard LQG against distributional uncertainties on the process and measurement noise. Our distributionally robust formulation specifies the admissible perturbations by defining a relative entropy based ambiguity set individually for each time step along a finite-horizon trajectory, and minimizes the worst-case cost across all admissible distributions. We prove that the optimal control policy is still linear, as in standard LQG, and derive a computational scheme grounded on iterative best response that provably converges to the set of saddle points. Finally, we consider the case of endogenous uncertainty captured via decision-dependent ambiguity sets and we propose an approximation scheme based on dynamic programming.

math.OC

Synthesis of safety certificates for discrete-time uncertain systems via convex optimization

We study the problem of co-designing control barrier functions and linear state feedback controllers for discrete-time linear systems affected by additive disturbances. For disturbances of bounded magnitude, we provide a semi-definite program whose feasibility implies the existence of a control law and a certificate ensuring safety in the infinite horizon with respect to the worst-case disturbance realization in the uncertainty set. For disturbances with unbounded support, we rely on martingale theory to derive a second semi-definite program whose feasibility provides probabilistic safety guarantees holding joint-in-time over a finite time horizon. We examine several extensions, including (i) encoding of different types of input constraints, (ii) robustification against distributional ambiguity around the true distribution, (iii) design of safety filters, and (iv) extension to general safety specifications such as obstacle avoidance.

math.OC

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

Joint Chance Constrained Optimal Control via Linear Programming

We establish a linear programming formulation for the solution of joint chance constrained optimal control problems over finite time horizons. The joint chance constraint may represent an invariance, reachability or reach-avoid specification that the trajectory must satisfy with a predefined probability. For finite state and action spaces, the solution is exact and our method computationally superior to approaches in the literature. For continuous state or action spaces, our linear programming formulation enables basis function approximations.

math.OC

BIG Hype: Best Intervention in Games via Distributed Hypergradient Descent

Hierarchical decision making problems, such as bilevel programs and Stackelberg games, are attracting increasing interest in both the engineering and machine learning communities. Yet, existing solution methods lack either convergence guarantees or computational efficiency, due to the absence of smoothness and convexity. In this work, we bridge this gap by designing a first-order hypergradient-based algorithm for Stackelberg games and mathematically establishing its convergence using tools from nonsmooth analysis. To evaluate the \textit{hypergradient}, namely, the gradient of the upper-level objective, we develop an online scheme that simultaneously computes the lower-level equilibrium and its Jacobian. Crucially, this scheme exploits and preserves the original hierarchical and distributed structure of the problem, which renders it scalable and privacy-preserving. We numerically verify the computational efficiency and scalability of our algorithm on a large-scale hierarchical demand-response model.

math.OC

Designing Optimal Personalized Incentive for Traffic Routing using BIG Hype algorithm

We study the problem of optimally routing plug-in electric and conventional fuel vehicles on a city level. In our model, commuters selfishly aim to minimize a local cost that combines travel time, from a fixed origin to a desired destination, and the monetary cost of using city facilities, parking or service stations. The traffic authority can influence the commuters' preferred routing choice by means of personalized discounts on parking tickets and on the energy price at service stations. We formalize the problem of designing these monetary incentives optimally as a large-scale bilevel game, where constraints arise at both levels due to the finite capacities of city facilities and incentives budget. Then, we develop an efficient decentralized solution scheme with convergence guarantees based on BIG Hype, a recently-proposed hypergradient-based algorithm for hierarchical games. Finally, we validate our model via numerical simulations over the Anaheim's network, and show that the proposed approach produces sensible results in terms of traffic decongestion and it is able to solve in minutes problems with more than 48000 variables and 110000 constraints.

math.OC

Wasserstein Tube MPC with Exact Uncertainty Propagation

We study model predictive control (MPC) problems for stochastic LTI systems, where the noise distribution is unknown, compactly supported, and only observable through a limited number of i.i.d. noise samples. Building upon recent results in the literature, which show that distributional uncertainty can be efficiently captured within a Wasserstein ambiguity set, and that such ambiguity sets propagate exactly through the system dynamics, we start by formulating a novel Wasserstein Tube MPC (WT-MPC) problem, with distributionally robust CVaR constraints. We then show that the WT-MPC problem: (1) is a direct generalization of the (deterministic) Robust Tube MPC (RT-MPC) to the stochastic setting; (2) through a scalar parameter, it interpolates between the data-driven formulation based on sample average approximation and the RT-MPC formulation, allowing us to optimally trade between safety and performance; (3) admits a tractable convex reformulation; and (4) is recursively feasible. We conclude the paper with a numerical comparison of WT-MPC and RT-MPC.

math.OC

Generalized uncertain Nash games: Reformulation and robust equilibrium seeking -- Extended version

We consider generalized Nash equilibrium problems (GNEPs) with linear coupling constraints affected by both local (i.e., agent-wise) and global (i.e., shared resources) disturbances taking values in polyhedral uncertainty sets. By making use of traditional tools borrowed from robust optimization, for this class of problems we derive a tractable, finite-dimensional reformulation leading to a deterministic ''extended game'', and we show that this latter still amounts to a GNEP featuring generalized Nash equilibria ''in the worst-case''. We then design a fully-distributed, accelerated algorithm based on monotone operator theory, which enjoys convergence towards a Nash equilibrium of the original, uncertain game under weak structural assumptions. Finally, we illustrate the effectiveness of the proposed distributed scheme through numerical simulations

eess.SY

A Stackelberg game for incentive-based demand response in energy markets

In modern buildings renewable energy generators and storage devices are spreading, and consequently the role of the users in the power grid is shifting from passive to active. We design a demand response scheme that exploits the prosumers' flexibility to provide ancillary services to the main grid. We propose a hierarchical scheme to coordinate the interactions between the distribution system operator and a community of smart prosumers. The framework inherits characteristics from price-based and incentive-based schemes and it retains the advantages of both. We cast the problem as a Stackelberg game with the prosumers as followers and the distribution system operator as leader. We solve the resulting bilevel optimization program via a KKT reformulation, proving the existence and the convergence to a local Stackelberg equilibrium. Finally, we provide numerical simulations to corroborate our claims on the benefits of the proposed framework.

eess.SY