Upper bounds for the reach-avoid probability via robust optimization

We consider finite horizon reach-avoid problems for discrete time stochastic systems. Our goal is to construct upper bound functions for the reach-avoid probability by means of tractable convex optimization problems. We achieve this by restricting attention to the span of Gaussian radial basis functions and imposing structural assumptions on the transition kernel of the stochastic processes as well as the target and safe sets of the reach-avoid problem. In particular, we require the kernel to be written as a Gaussian mixture density with each mean of the distribution being affine in the current state and input and the target and safe sets to be written as intersections of quadratic inequalities. Taking advantage of these structural assumptions, we formulate a recursion of semidefinite programs where each step provides an upper bound to the value function of the reach- avoid problem. The upper bounds provide a performance metric to which any suboptimal control policy can be compared, and can themselves be used to construct suboptimal control policies. We illustrate via numerical examples that even if the resulting bounds are conservative, the associated control policies achieve higher reach-avoid probabilities than heuristic controllers for problems of large state-input space dimensions (more than 20). The results presented in this paper, far exceed the limits of current approximation methods for reach-avoid problems in the specific class of stochastic systems considered.

An optimal prediction problem in financial modelling

Violetta Bernyk

The subject of the present thesis is an optimal prediction problem concerning the ultimate maximum of a stable Lévy process over a finite interval of time. Such "optimal prediction" problems are of both theoretical and practical interest, in particular they have applications in finance. For instance, suppose that an investor has a long position in one financial asset, whose price is modelled by some stochastic process. The investor's objective is to determine a "best moment" at which to close out the position and to sell the asset at the highest possible price. This optimal decision must be based on continuous observations of the asset price performance and only on the information accumulated to date. Hence, the investor should use a prediction (forecasting) of the future evolution of the price of the financial security. We examine this problem in the case where the asset price is modelled by a Lévy process. Indeed, during the last several years, the application of Lévy processes in the modelling financial asset returns has become one of the active research directions in quantitative finance. Thus, this thesis contains suitable new results concerning Lévy processes. We derive the law of the supremum process associated with a strictly stable Lévy process with no negative jumps which is not a subordinator. We note that the latter problem dates back to 1973. In particular, we show that the probability density function of the supremum process can be expressed using an explicit power series representation or via an integral representation. We also derive the infinitesimal generator of the reflected process associated with a general strictly stable Lévy process. Throughout this thesis, we apply the theory of optimal stopping, the methods of fractional differential calculus, and some results from fluctuation theory. Implementing these theories in the context of Lévy processes requires the development of specific analytical results. In the case where the asset price is modelled by a spectrally positive stable Lévy process, we describe the optimal strategy under certain conditions on the model parameters. The optimal strategy is of the following form: the investor must stop the observation of the price process and sell the asset as soon as the associated reflected process crosses for the first time a particular stopping boundary. We also provide numerical estimates and simulation examples of the results obtained by using this strategy.

EPFL2007

Optimal Aircraft Trajectory Planning in the Presence of Stochastic Convective Weather Cells

The Air Traffic Management system is heavily influenced by meteorological uncertainty, and convective weather cells represent one of the most relevant uncertain meteorological phenomena. They are weather hazards that must be avoided through tactical trajectory modifications. As a consequence of the existence in uncertainty in meteorological forecasts and nowcasts, it is important to consider the convective weather cells to be avoided as a stochastic, time-dependent process. In this paper we present a comparative analysis of two methodologies for handling stochastic storms in trajectory planning: one based on stochas- tic reachability and a second one, based on robust optimal control. In the former, the thunderstorm avoidance problem is modelled as a stochastic reach-avoid problem, consid- ering the motion of the aircraft as a discrete-time stochastic system and the weather haz- ards as random set-valued obstacles. Dynamic programming is used to compute a Markov feedback policy that maximizes the probability of reaching the target before entering the unsafe set, i.e., the hazardous weather zones. For the latter, the stochastic dynamics of the storms are modeled in continuous time. We implement an optimal control formulation that allows different possible realizations of the stochastic process to be considered. The resulting problem is then transcribed to a nonlinear programming (NLP) problem through the use of direct numerical methods. A benchmark case study is presented, in which the effectiveness of the two proposed approaches are analyzed.

American Institute of Aeronautics and Astronautics2017

An optimal prediction problem in financial modelling

Violetta Bernyk

EPFL2007