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Mathijs Schuurmans

Publications and source records attributed to Mathijs Schuurmans.

At least 19 recordsLinked to original sources

Active learning-based Bayesian optimization in the realm of copper slag-blended cement systems

Accelerated mix design optimization is critical for deploying low-carbon supplementary cementitious materials (SCMs) because traditional experimental approaches require extensive testing campaigns. The authors demonstrate that Bayesian optimization (BO) can identify near-optimal blended cement formulations using an AI-driven approach with minimal experimental data. Starting with only 10 initial experiments and a 2:1 data-to-variable ratio reflecting realistic laboratory constraints, the authors optimized copper slag, limestone, Portland cement systems for 32.5N strength class with respect to 2-day compressive strength, cost, and CO2 emissions. Gaussian process surrogate models guided sequential experimentation through Expected Improvement and Upper Confidence Bound acquisition functions. Within 2-6 iterations, BO identified Pareto non-dominated solutions meeting strength requirements (greater than 10 MPa at 2 days, greater than 32.5 MPa at 28 days) while achieving CO2 emissions below 500 kg CO2/ton; consistent with industry decarbonization targets. A conservative update strategy incorporating uncertainty bounds for 28-day strength enabled rapid iteration without waiting 28 days per cycle. Comparative analysis revealed that linear kernels outperformed nonlinear alternatives in predictive accuracy, though radial basis function kernels were preferred for active learning due to superior uncertainty quantification. This work demonstrates BO as a practical decision-support tool for cement research under severe data constraints.

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Probabilistic Safety under Arbitrary Disturbance Distributions using Piecewise-Affine Control Barrier Functions

We propose a simple safety filter design for stochastic discrete-time systems based on piecewise affine probabilistic control barrier functions, providing an appealing balance between modeling flexibility and computational complexity. Exact evaluation of the safety filter consists of solving a mixed-integer quadratic program (MIQP) if the dynamics are control-affine (or a mixed-integer nonlinear program in general). We propose a heuristic search method that replaces this by a small number of small-scale quadratic programs (QPs), or nonlinear programs (NLPs) respectively. The proposed approach provides a flexible framework in which arbitrary (data-driven) quantile estimators can be used to bound the probability of safety violations. Through extensive numerical experiments, we demonstrate improvements in conservatism and computation time with respect to existing methods, and we illustrate the flexibility of the method for modeling complex safety sets. Supplementary material can be found at https://mathijssch.github.io/ecc26-supplementary/.

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Risk-Sensitive Model Predictive Control for Interaction-Aware Planning -- A Sequential Convexification Algorithm

This paper considers risk-sensitive model predictive control for stochastic systems with a decision-dependent distribution. This class of systems is commonly found in human-robot interaction scenarios. We derive computationally tractable convex upper bounds to both the objective function, and to frequently used penalty terms for collision avoidance, allowing us to efficiently solve the generally nonconvex optimal control problem as a sequence of convex problems. Simulations of a robot navigating a corridor demonstrate the effectiveness and the computational advantage of the proposed approach.

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EM++: A parameter learning framework for stochastic switching systems

This paper proposes a general switching dynamical system model, and a custom majorization-minimization-based algorithm EM++ for identifying its parameters. For certain families of distributions, such as Gaussian distributions, this algorithm reduces to the well-known expectation-maximization method. We prove global convergence of the algorithm under suitable assumptions, thus addressing an important open issue in the switching system identification literature. The effectiveness of both the proposed model and algorithm is validated through extensive numerical experiments.

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Optimal Intraday Power Trading for Single-Price Balancing Markets: An Adaptive Risk-Averse Strategy using Mixture Models

Efficient markets are characterised by profit-driven participants continuously refining their positions towards the latest insights. Margins for profit generation are generally small, shaping a difficult landscape for automated trading strategies. This paper introduces a novel intraday power trading strategy tailored for single-price balancing markets. The strategy relies on a strategically devised mixture model to forecast future system imbalance prices and is formulated as a stochastic optimization problem with decision-dependent distributions to address two primary challenges: (i) the impact of trading positions on the system imbalance price and (ii) the uncertainty inherent in the model. The first challenge is tackled by adjusting the model to account for price changes after taking a position. For the second challenge, a coherent risk measure is added to the cost function to take additional uncertainties into account. This paper introduces a methodology to select the tuning parameter of this risk measure adaptively by continuously quantifying the performance of the strategy on a window of recently observed data. The strategy is validated with a simulation on the Belgian electricity market using real-time market data. The adaptive tuning approach leads to higher absolute profits, while also reducing the number of trades.

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Distributionally Robust Optimization using Cost-Aware Ambiguity Sets

We present a novel framework for distributionally robust optimization (DRO), called cost-aware DRO (CADRO). The key idea of CADRO is to exploit the cost structure in the design of the ambiguity set to reduce conservatism. Particularly, the set specifically constrains the worst-case distribution along the direction in which the expected cost of an approximate solution increases most rapidly. We prove that CADRO provides both a high-confidence upper bound and a consistent estimator of the out-of-sample expected cost, and show empirically that it produces solutions that are substantially less conservative than existing DRO methods, while providing the same guarantees.

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A General Framework for Learning-Based Distributionally Robust MPC of Markov Jump Systems

We present a learning model predictive control (MPC) scheme for chance-constrained Markov jump systems with unknown switching probabilities. Using samples of the underlying Markov chain, ambiguity sets of transition probabilities are estimated which include the true conditional probability distributions with high probability. These sets are updated online and used to formulate a time-varying, risk-averse optimal control problem. We prove recursive feasibility of the resulting MPC scheme and show that the original chance constraints remain satisfied at every time step. Furthermore, we show that under sufficient decrease of the confidence levels, the resulting MPC scheme renders the closed-loop system mean-square stable with respect to the true-but-unknown distributions, while remaining less conservative than a fully robust approach. Finally, we show that the value function of the learning MPC converges from above to its nominal counterpart as the sample size grows to infinity. We illustrate our approach on a numerical example.

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SPOCK: A proximal method for multistage risk-averse optimal control problems

Risk-averse optimal control problems have gained a lot of attention in the last decade, mostly due to their attractive mathematical properties and practical importance. They can be seen as an interpolation between stochastic and robust optimal control approaches, allowing the designer to trade-off performance for robustness and vice-versa. Due to their stochastic nature, risk-averse problems are of a very large scale, involving millions of decision variables, which poses a challenge in terms of efficient computation. In this work, we propose a splitting for general risk-averse problems and show how to efficiently compute iterates on a GPU-enabled hardware. Moreover, we propose Spock - a new algorithm that utilizes the proposed splitting and takes advantage of the SuperMann scheme combined with fast directions from Anderson's acceleration method for enhanced convergence speed. We implement Spock in Julia as an open-source solver, which is amenable to warm-starting and massive parallelization.

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Interaction-aware Model Predictive Control for Autonomous Driving

Lane changing and lane merging remains a challenging task for autonomous driving, due to the strong interaction between the controlled vehicle and the uncertain behavior of the surrounding traffic participants. The interaction induces a dependence of the vehicles' states on the (stochastic) dynamics of the surrounding vehicles, increasing the difficulty of predicting future trajectories. Furthermore, the small relative distances cause traditional robust approaches to become overly conservative, necessitating control methods that are explicitly aware of inter-vehicle interaction. Towards these goals, we propose an interaction-aware stochastic model predictive control (MPC) strategy integrated with an online learning framework, which models a given driver's cooperation level as an unknown parameter in a state-dependent probability distribution. The online learning framework adaptively estimates the surrounding vehicle's cooperation level with the vehicle's past trajectory and combines this with a kinematic vehicle model to predict the probability of a multimodal future state trajectory. The learning is conducted with logistic regression which enables fast online computation. The multi-future prediction is used in the MPC algorithm to compute the optimal control input while satisfying safety constraints. We demonstrate our algorithm in an interactive lane changing scenario with drivers in different randomly selected cooperation levels.

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Safe, Learning-Based MPC for Highway Driving under Lane-Change Uncertainty: A Distributionally Robust Approach

We present a case study applying learning-based distributionally robust model predictive control to highway motion planning under stochastic uncertainty of the lane change behavior of surrounding road users. The dynamics of road users are modelled using Markov jump systems, in which the switching variable describes the desired lane of the vehicle under consideration and the continuous state describes the pose and velocity of the vehicles. We assume the switching probabilities of the underlying Markov chain to be unknown. As the vehicle is observed and thus, samples from the Markov chain are drawn, the transition probabilities are estimated along with an ambiguity set which accounts for misestimations of these probabilities. Correspondingly, a distributionally robust optimal control problem is formulated over a scenario tree, and solved in receding horizon. As a result, a motion planning procedure is obtained which through observation of the target vehicle gradually becomes less conservative while avoiding overconfidence in estimates obtained from small sample sizes. We present an extensive numerical case study, comparing the effects of several different design aspects on the controller performance and safety.

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Learning MPC for Interaction-Aware Autonomous Driving: A Game-Theoretic Approach

We consider the problem of interaction-aware motion planning for automated vehicles in general traffic situations. We model the interaction between the controlled vehicle and surrounding road users using a generalized potential game, in which each road user is assumed to minimize a common cost function subject to shared (collision avoidance) constraints. We propose a quadratic penalty method to deal with the shared constraints and solve the resulting optimal control problem online using an Augmented Lagrangian method based on PANOC. Secondly, we present a simple methodology for learning preferences and constraints of other road users online, based on observed behavior. Through extensive simulations in a highway merging scenario, we demonstrate the practical efficacy of the overall approach as well as the benefits of the proposed online learning scheme.

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Alpaqa: A matrix-free solver for nonlinear MPC and large-scale nonconvex optimization

This paper presents alpaqa, an open-source C++ implementation of an augmented Lagrangian method for nonconvex constrained numerical optimization, using the first-order PANOC algorithm as inner solver. The implementation is packaged as an easy-to-use library that can be used in C++ and Python. Furthermore, two improvements to the PANOC algorithm are proposed and their effectiveness is demonstrated in NMPC applications and on the CUTEst benchmarks for numerical optimization. The source code of the alpaqa library is available at https://github.com/kul-optec/alpaqa and binary packages can be installed from https://pypi.org/project/alpaqa .

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Data-driven distributionally robust control of partially observable jump linear systems

We study safe, data-driven control of (Markov) jump linear systems with unknown transition probabilities, where both the discrete mode and the continuous state are to be inferred from output measurements. To this end, we develop a receding horizon estimator which uniquely identifies a sub-sequence of past mode transitions and the corresponding continuous state, allowing for arbitrary switching behavior. Unlike traditional approaches to mode estimation, we do not require an offline exhaustive search over mode sequences to determine the size of the observation window, but rather select it online. If the system is weakly mode observable, the window size will be upper bounded, leading to a finite-memory observer. We integrate the estimation procedure with a simple distributionally robust controller, which hedges against misestimations of the transition probabilities due to finite sample sizes. As additional mode transitions are observed, the used ambiguity sets are updated, resulting in continual improvements of the control performance. The practical applicability of the approach is illustrated on small numerical examples.

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Learning-Based Distributionally Robust Model Predictive Control of Markovian Switching Systems with Guaranteed Stability and Recursive Feasibility

We present a data-driven model predictive control scheme for chance-constrained Markovian switching systems with unknown switching probabilities. Using samples of the underlying Markov chain, ambiguity sets of transition probabilities are estimated which include the true conditional probability distributions with high probability. These sets are updated online and used to formulate a time-varying, risk-averse optimal control problem. We prove recursive feasibility of the resulting MPC scheme and show that the original chance constraints remain satisfied at every time step. Furthermore, we show that under sufficient decrease of the confidence levels, the resulting MPC scheme renders the closed-loop system mean-square stable with respect to the true-but-unknown distributions, while remaining less conservative than a fully robust approach.

math.OC

Data-driven distributionally robust LQR with multiplicative noise

We present a data-driven method for solving the linear quadratic regulator problem for systems with multiplicative disturbances, the distribution of which is only known through sample estimates. We adopt a distributionally robust approach to cast the controller synthesis problem as semidefinite programs. Using results from high dimensional statistics, the proposed methodology ensures that their solution provides mean-square stabilizing controllers with high probability even for low sample sizes. As sample size increases the closed-loop cost approaches that of the optimal controller produced when the distribution is known. We demonstrate the practical applicability and performance of the method through a numerical experiment.

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Learning-Based Risk-Averse Model Predictive Control for Adaptive Cruise Control with Stochastic Driver Models

We propose a learning-based, distributionally robust model predictive control approach towards the design of adaptive cruise control (ACC) systems. We model the preceding vehicle as an autonomous stochastic system, using a hybrid model with continuous dynamics and discrete, Markovian inputs. We estimate the (unknown) transition probabilities of this model empirically using observed mode transitions and simultaneously determine sets of probability vectors (ambiguity sets) around these estimates, that contain the true transition probabilities with high confidence. We then solve a risk-averse optimal control problem that assumes the worst-case distributions in these sets. We furthermore derive a robust terminal constraint set and use it to establish recursive feasibility of the resulting MPC scheme. We validate the theoretical results and demonstrate desirable properties of the scheme through closed-loop simulations.

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Nonlinear Model Predictive Control for Distributed Motion Planning in Road Intersections Using PANOC

The coordination of highly automated vehicles (or agents) in road intersections is an inherently nonconvex and challenging problem. In this paper, we propose a distributed motion planning scheme under reasonable vehicle-to-vehicle communication requirements. Each agent solves a nonlinear model predictive control problem in real time and transmits its planned trajectory to other agents, which may have conflicting objectives. The problem formulation is augmented with conditional constraints that enable the agents to decide whether to wait at a stopping line, if safe crossing is not possible. The involved nonconvex problems are solved very efficiently using the proximal averaged Newton method for optimal control (PANOC). We demonstrate the efficiency of the proposed approach in a realistic intersection crossing scenario.

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Safe Learning-Based Control of Stochastic Jump Linear Systems: a Distributionally Robust Approach

We consider the problem of designing control laws for stochastic jump linear systems where the disturbances are drawn randomly from a finite sample space according to an unknown distribution, which is estimated from a finite sample of i.i.d. observations. We adopt a distributionally robust approach to compute a mean-square stabilizing feedback gain with a given probability. The larger the sample size, the less conservative the controller, yet our methodology gives stability guarantees with high probability, for any number of samples. Using tools from statistical learning theory, we estimate confidence regions for the unknown probability distributions (ambiguity sets) which have the shape of total variation balls centered around the empirical distribution. We use these confidence regions in the design of appropriate distributionally robust controllers and show that the associated stability conditions can be cast as a tractable linear matrix inequality (LMI) by using conjugate duality. The resulting design procedure scales gracefully with the size of the probability space and the system dimensions. Through a numerical example, we illustrate the superior sample complexity of the proposed methodology over the stochastic approach.

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