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Statistical learning for probability-constrained stochastic optimal control

Author

Listed:
  • Balata, Alessandro
  • Ludkovski, Michael
  • Maheshwari, Aditya
  • Palczewski, Jan

Abstract

We investigate Monte Carlo based algorithms for solving stochastic control problems with local probabilistic constraints. Our motivation comes from microgrid management, where the controller tries to optimally dispatch a diesel generator while maintaining low probability of blackouts at each step. The key question we investigate are empirical simulation procedures for learning the state-dependent admissible control set that is specified implicitly through a probability constraint on the system state. We propose a variety of relevant statistical tools including logistic regression, Gaussian process regression, quantile regression and support vector machines, which we then incorporate into an overall Regression Monte Carlo (RMC) framework for approximate dynamic programming. Our results indicate that using logistic or Gaussian process regression to estimate the admissibility probability outperforms the other options. Our algorithms offer an efficient and reliable extension of RMC to probability-constrained control. We illustrate our findings with two case studies for the microgrid problem.

Suggested Citation

  • Balata, Alessandro & Ludkovski, Michael & Maheshwari, Aditya & Palczewski, Jan, 2021. "Statistical learning for probability-constrained stochastic optimal control," European Journal of Operational Research, Elsevier, vol. 290(2), pages 640-656.
    • Handle: RePEc:eee:ejores:v:290:y:2021:i:2:p:640-656
    DOI: 10.1016/j.ejor.2020.08.041
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    References listed on IDEAS

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    Cited by:

    1. Maximilien Germain & Huy^en Pham & Xavier Warin, 2021. "A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection," Papers 2112.11059, arXiv.org, revised Nov 2022.
    2. Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection," Working Papers hal-03498263, HAL.

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