Stochastic Optimal Control with Applications in Financial Engineering

Geering, Hans P.; Herzog, Florian; Dondi, Gabriel

doi:10.1007/978-0-387-89496-6_18

Cited by 45 publications

(68 citation statements)

References 30 publications

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“…In practical implementations, there are normally methods to avoid overcoming the constraints but the resulting solution is suboptimal. Rigorous application of PMP in presence of state constraints (following, for example, the methods outlined in [21]) would be necessary but its online implementation represents still an open issue. The problem is not particularly relevant for regular HEV optimization, when the boundary values of SOC are rarely met in normal conditions; however, it becomes important in some special cases, for example when supercapacitors are present.…”

Section: Optimization With State Constraintsmentioning

confidence: 99%

Open Issues in Supervisory Control of Hybrid Electric Vehicles: A Unified Approach Using Optimal Control Methods

Serrao

Sciarretta

Grondin

et al. 2013

Oil Gas Sci. Technol. – Rev. IFP Energies nouvelles

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Résumé -Questions ouvertes sur la supervision énergétique des véhicules hybrides électriques : une approche unifiée par la théorie de la commande optimale -Cet article a pour objet la gestion optimale de l'énergie pour un système de propulsion hybride. Le problème traditionnel de répartition de la puissance est modifié avec des nouveaux objectifs d'optimisation et des nouvelles contraintes. Les nouveaux objectifs d'optimisation incluent les émissions de polluants et le vieillissement de la batterie. Les contraintes sont modifiées pour prendre en compte des batteries à recharge externe (hybrides plug-in). De plus, des problèmes spécifiques sont traités avec une modélisation plus détaillée, qui comprend : les dynamiques thermiques du moteur à combustion interne et du catalyseur, pour prendre en compte les effets du démarrage à froid ; les dynamiques thermiques des systèmes de récupération de la chaleur à l'échappement ; la température de la batterie, qui a un effet sur ses performances et son vieillissement. L'article montre comment tous ces problèmes peuvent être traités de façon cohé-rente avec une extension de l'approche ECMS (Equivalent Consumption Minimization Strategy, ou stratégie de minimisation de la consommation équivalente), qui est une implémentation du principe du minimum de Pontryagin formulé dans la théorie de la commande optimale. Des définitions étendues de la fonction Hamiltonienne et des multiplicateurs de Lagrange sont présentées, ainsi que les résultats des optimisations illustrant les bénéfices de cette approche unifiée et ses limites dans l'implémentation en ligne.

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Section: Optimization With State Constraintsmentioning

confidence: 99%

Open Issues in Supervisory Control of Hybrid Electric Vehicles: A Unified Approach Using Optimal Control Methods

Serrao

Sciarretta

Grondin

et al. 2013

Oil Gas Sci. Technol. – Rev. IFP Energies nouvelles

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“…The dynamics of s are given by the necessary conditions of PMP. If the SOC dynamics are independent of the SOC, then s can be shown to be piecewise constant [52]. If in addition no state constraints are present on the SOC, s is constant for the entire driving cycle.…”

Section: Iterative Algorithmmentioning

confidence: 99%

Convex Optimization for the Energy Management of Hybrid Electric Vehicles Considering Engine Start and Gearshift Costs

et al. 2014

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This paper presents a novel method to solve the energy management problem for hybrid electric vehicles (HEVs) with engine start and gearshift costs. The method is based on a combination of deterministic dynamic programming (DP) and convex optimization. As demonstrated in a case study, the method yields globally optimal results while returning the solution in much less time than the conventional DP method. In addition, the proposed method handles state constraints, which allows for the application to scenarios where the battery state of charge (SOC) reaches its boundaries.

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“…According to the general methodology introduced in [38], the problem can be defined as an optimal control problem with partially constrained final states. The problem is formulated as:…”

Section: Solution Using Pontragin's Minimum Principle (Pmp)mentioning

confidence: 99%

“…The optimal solution is found using Pontryagin's minimum principle (PMP) [38,39]. By defining the Hamiltonian function as:…”

Section: Solution Using Pontragin's Minimum Principle (Pmp)mentioning

confidence: 99%

Equivalent Consumption Minimization Strategy for the Control of Real Driving NOx Emissions of a Diesel Hybrid Electric Vehicle

et al. 2014

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Motivated by the fact that the real driving NO x emissions (RDE) of conventional diesel vehicles can exceed the legislation norms by far, a concept for the control of RDE with a diesel parallel hybrid electric vehicle (HEV) is proposed. By extending the well-known equivalent consumption minimization strategy (ECMS), the power split degree of freedom is used to control the NO x emissions and the battery state of charge (SOC) simultaneously. Through an appropriate formulation of the problem, the feedback control is shown to be separable into two dependent PI controllers. By hardware-in-the-loop (HIL) experiments, as well as by simulations, the proposed method is shown to minimize the fuel consumption while tracking a given reference trajectory for both the NO x emissions and the battery SOC.

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Stochastic Optimal Control with Applications in Financial Engineering

Cited by 45 publications

References 30 publications

Open Issues in Supervisory Control of Hybrid Electric Vehicles: A Unified Approach Using Optimal Control Methods

Open Issues in Supervisory Control of Hybrid Electric Vehicles: A Unified Approach Using Optimal Control Methods

Convex Optimization for the Energy Management of Hybrid Electric Vehicles Considering Engine Start and Gearshift Costs

Equivalent Consumption Minimization Strategy for the Control of Real Driving NOx Emissions of a Diesel Hybrid Electric Vehicle

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