Software development and testing for certain time-dependent problems of stochastic optimal control

2005 ◽  
Author(s):  
S.A. Belbas ◽  
W.-S. Choi
Keyword(s):  
Optimal Control ◽  
Software Development ◽  
Stochastic Optimal Control ◽  
Time Dependent ◽  
Time Dependent Problems

scholarly journals A New Approach to Solving Stochastic Optimal Control Problems

Mathematics ◽  
2019 ◽  
Vol 7 (12) ◽  
pp. 1207 ◽  
Author(s):  
Pablo T. Rodriguez-Gonzalez ◽  
Vicente Rico-Ramirez ◽  
Ramiro Rico-Martinez ◽  
Urmila M. Diwekar
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Objective Function ◽  
Stochastic Optimal Control ◽  
Optimal Control Problems ◽  
Biodiesel Production ◽  
Time Dependent ◽  
Control Problems ◽  
Model Calculations ◽  
New Approach

A conventional approach to solving stochastic optimal control problems with time-dependent uncertainties involves the use of the stochastic maximum principle (SMP) technique. For large-scale problems, however, such an algorithm frequently leads to convergence complexities when solving the two-point boundary value problem resulting from the optimality conditions. An alternative approach consists of using continuous random variables to capture uncertainty through sampling-based methods embedded within an optimization strategy for the decision variables; such a technique may also fail due to the computational intensity involved in excessive model calculations for evaluating the objective function and its derivatives for each sample. This paper presents a new approach to solving stochastic optimal control problems with time-dependent uncertainties based on BONUS (Better Optimization algorithm for Nonlinear Uncertain Systems). The BONUS has been used successfully for non-linear programming problems with static uncertainties, but we show here that its scope can be extended to the case of optimal control problems with time-dependent uncertainties. A batch reactor for biodiesel production was used as a case study to illustrate the proposed approach. Results for a maximum profit problem indicate that the optimal objective function and the optimal profiles were better than those obtained by the maximum principle.

scholarly journals pyNIROM—A suite of python modules for non-intrusive reduced order modeling of time-dependent problems

2021 ◽  
Vol 10 ◽  
pp. 100129
Author(s):  
Sourav Dutta ◽  
Peter Rivera-Casillas ◽  
Orie M. Cecil ◽  
Matthew W. Farthing
Keyword(s):  
Reduced Order Modeling ◽  
Time Dependent ◽  
Reduced Order ◽  
Time Dependent Problems
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