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Register a new userThe scenario approach meets uncertain variational inequalities and game theory
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Added by
Dario Paccagnan
Publication date
2019
fields
Informatics Engineering
and research's language is
English
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Variational inequalities are modelling tools used to capture a variety of decision-making problems arising in mathematical optimization, operations research, game theory. The scenario approach is a set of techniques developed to tackle stochastic optimization problems, take decisions based on historical data, and quantify their risk. The overarching goal of this manuscript is to bridge these two areas of research, and thus broaden the class of problems amenable to be studied under the lens of the scenario approach. First and foremost, we provide out-of-samples feasibility guarantees for the solution of variational and quasi variational inequality problems. Second, we apply these results to two classes of uncertain games. In the first class, the uncertainty enters in the constraint sets, while in the second class the uncertainty enters in the cost functions. Finally, we exemplify the quality and relevance of our bounds through numerical simulations on a demand-response model.
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We develop a data-driven approach to the computation of a-posteriori feasibility certificates to the solution sets of variational inequalities affected by uncertainty. Specifically, we focus on instances of variational inequalities with a deterministic mapping and an uncertain feasibility set, and represent uncertainty by means of scenarios. Building upon recent advances in the scenario approach literature, we quantify the robustness properties of the entire set of solutions of a variational inequality, with feasibility set constructed using the scenario approach, against a new unseen realization of the uncertainty. Our results extend existing results that typically impose an assumption that the solution set is a singleton and require certain non-degeneracy properties, and thereby offer probabilistic feasibility guarantees to any feasible solution. We show that assessing the violation probability of an entire set of solutions, rather than of a singleton, requires enumeration of the support constraints that shape this set. Additionally, we propose a general procedure to enumerate the support constraints that does not require a closed form description of the solution set, which is unlikely to be available. We show that robust game theory problems can be modelling via uncertain variational inequalities, and illustrate our theoretical results through extensive numerical simulations on a case study involving an electric vehicle charging coordination problem.
A Dynkin game is considered for stochastic differential equations with random coefficients. We first apply Qiu and Tangs maximum principle for backward stochastic partial differential equations to generalize Krylov estimate for the distribution of a Markov process to that of a non-Markov process, and establish a generalized It^o-Kunita-Wentzells formula allowing the test function to be a random field of It^os type which takes values in a suitable Sobolev space. We then prove the verification theorem that the Nash equilibrium point and the value of the Dynkin game are characterized by the strong solution of the associated Hamilton-Jacobi-Bellman-Isaacs equation, which is currently a backward stochastic partial differential variational inequality (BSPDVI, for short) with two obstacles. We obtain the existence and uniqueness result and a comparison theorem for strong solution of the BSPDVI. Moreover, we study the monotonicity on the strong solution of the BSPDVI by the comparison theorem for BSPDVI and define the free boundaries. Finally, we identify the counterparts for an optimal stopping time problem as a special Dynkin game.
This paper presents scalable traffic stability analysis for both pure autonomous vehicle (AV) traffic and mixed traffic based on continuum traffic flow models. Human vehicles are modeled by a non-equilibrium traffic flow model, i.e., Aw-Rascle-Zhang (ARZ), which is unstable. AVs are modeled by the mean field game which assumes AVs are rational agents with anticipation capacities. It is shown from linear stability analysis and numerical experiments that AVs help stabilize the traffic. Further, we quantify the impact of AVs penetration rate and controller design on the traffic stability. The results may provide insights for AV manufacturers and city planners.
This paper aims to answer the research question as to optimal design of decision-making processes for autonomous vehicles (AVs), including dynamical selection of driving velocity and route choices on a transportation network. Dynamic traffic assignment (DTA) has been widely used to model travelerss route choice or/and departure-time choice and predict dynamic traffic flow evolution in the short term. However, the existing DTA models do not explicitly describe ones selection of driving velocity on a road link. Driving velocity choice may not be crucial for modeling the movement of human drivers but it is a must-have control to maneuver AVs. In this paper, we aim to develop a game-theoretic model to solve for AVss optimal driving strategies of velocity control in the interior of a road link and route choice at a junction node. To this end, we will first reinterpret the DTA problem as an N-car differential game and show that this game can be tackled with a general mean field game-theoretic framework. The developed mean field game is challenging to solve because of the forward and backward structure for velocity control and the complementarity conditions for route choice. An efficient algorithm is developed to address these challenges. The model and the algorithm are illustrated on the Braess network and the OW network with a single destination. On the Braess network, we first compare the LWR based DTA model with the proposed game and find that the driving and routing control navigates AVs with overall lower costs. We then compare the total travel cost without and with the middle link and find that the Braess paradox may still arise under certain conditions. We also test our proposed model and solution algorithm on the OW network.
Stochastic model predictive control (SMPC) has been a promising solution to complex control problems under uncertain disturbances. However, traditional SMPC approaches either require exact knowledge of probabilistic distributions, or rely on massive scenarios that are generated to represent uncertainties. In this paper, a novel scenario-based SMPC approach is proposed by actively learning a data-driven uncertainty set from available data with machine learning techniques. A systematical procedure is then proposed to further calibrate the uncertainty set, which gives appropriate probabilistic guarantee. The resulting data-driven uncertainty set is more compact than traditional norm-based sets, and can help reducing conservatism of control actions. Meanwhile, the proposed method requires less data samples than traditional scenario-based SMPC approaches, thereby enhancing the practicability of SMPC. Finally the optimal control problem is cast as a single-stage robust optimization problem, which can be solved efficiently by deriving the robust counterpart problem. The feasibility and stability issue is also discussed in detail. The efficacy of the proposed approach is demonstrated through a two-mass-spring system and a building energy control problem under uncertain disturbances.
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