A Gradient Method for Risk Averse Control of a PDE-SDE Interconnected System
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866917121898840064 |
|---|---|
| author | Velho, Gabriel Auriol, Jean Bonalli, Riccardo |
| author_facet | Velho, Gabriel Auriol, Jean Bonalli, Riccardo |
| contents | In this paper, we design a risk-averse controller for an interconnected system composed of a linear Stochastic Differential Equation (SDE) actuated through a linear parabolic heat equation. These dynamics arise in various applications, such as coupled heat transfer systems and chemical reaction processes that are subject to disturbances. While existing optimal control methods for these systems focus on minimizing average performance, this risk-neutral perspective may allow rare but highly undesirable system behaviors. To account for such events, we instead minimize the cost within a coherent risk measure. Our approach reformulates the coupled dynamics as a stochastic PDE, approximates it by a finite-dimensional SDE system, and applies a gradient-based method to compute a riskaverse feedback controller. Numerical simulations show that the proposed controller substantially reduces the tail of the cost distribution, improving reliability with only a minor reduction in average performance. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_03626 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A Gradient Method for Risk Averse Control of a PDE-SDE Interconnected System Velho, Gabriel Auriol, Jean Bonalli, Riccardo Optimization and Control In this paper, we design a risk-averse controller for an interconnected system composed of a linear Stochastic Differential Equation (SDE) actuated through a linear parabolic heat equation. These dynamics arise in various applications, such as coupled heat transfer systems and chemical reaction processes that are subject to disturbances. While existing optimal control methods for these systems focus on minimizing average performance, this risk-neutral perspective may allow rare but highly undesirable system behaviors. To account for such events, we instead minimize the cost within a coherent risk measure. Our approach reformulates the coupled dynamics as a stochastic PDE, approximates it by a finite-dimensional SDE system, and applies a gradient-based method to compute a riskaverse feedback controller. Numerical simulations show that the proposed controller substantially reduces the tail of the cost distribution, improving reliability with only a minor reduction in average performance. |
| title | A Gradient Method for Risk Averse Control of a PDE-SDE Interconnected System |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2512.03626 |