The STORY project seeked to foster research on stochastic and robust optimization, with applications in resources management. The one year-long project consisted in the set up of a network to allow collaborations between stochastic and robust optimization researchers from France and California.
As planned, the budget contributed to organize one workshop in each country.
List of participants in the UC Berkeley workshop
As planned, we invited Mike Ludkovski (UC Santa Barbara) to participate to the SESO 2015 International Thematic Week, ``Smart Energy and Stochastic Optimization'', that took place at ENSTA ParisTech and École des Ponts ParisTech, from June 22 to 26, 2015 (organized by P. Carpentier, J.-P. Chancelier and M. De Lara).
Monday 22 June 2015: Mike Ludkowski (UC Santa Barbara, USA), ``Connecting optimal switching control and sequential design''
Abstract: Numerous problems in dynamic optimization of energy assets can be represented in terms of stochastic optimal switching control. In such settings, decision-making is reduced to identifying the best current action among a finite set of choices, for example "pump" vs "withdraw" vs "hold". In turn, this necessitates comparing several expected costs-to-go functionals across a typically multi-dimensional, continuous state space. We propose to reformulate this context as a statistical problem of identifying the maximal response among L >=2 unknown response surfaces that can be noisily sampled through a Monte Carlo simulator. While similar in flavor to Multi-Armed Bandits and Active Learning frameworks, our setting requires joint experimental design both in space and response-index dimensions. To maximize computational efficiency, we propose several novel acquisition functions for the respective sequential design of experiments, including the Gap-UCB and Gap-SUR heuristics. Numerical examples using both synthetic data and a case study in capacity expansion of power generation based on Aid et al (2012) are provided to illustrate our approach. (Joint work with R. Hu (UCSB)).