论文标题

关于解决方案在不确定性下的多代理优化问题中的概率可行性

On the probabilistic feasibility of solutions in multi-agent optimization problems under uncertainty

论文作者

Pantazis, George, Fele, Filiberto, Margellos, Kostas

论文摘要

我们研究了随机解决方案对两个不同类别的多个多代理优化程序的概率可行性。我们首先假设只有程序的约束受不确定性影响,而成本函数是任意的。利用了该方案方法的最新后验发展,我们为正在研究的计划的所有可行解决方案提供了概率保证。在与解决方案寻求算法相关的数值困难中,该结果特别有用,这阻碍了最佳解决方案的确切量化。此外,它可以应用于代理激励措施导致次优溶液(例如在非合作环境下)的情况。然后,我们专注于优化程序,其中成本函数允许汇总表示,并取决于不确定性,而约束是确定性的。通过利用研究中的计划的结构并利用所谓的支持等级概念,我们为最佳解决方案提供与代理无关的鲁棒性证书,即,构造的构建基于约束违规的可能性不取决于代理的数量,而仅取决于代理人决定的维度。这大大减少了随着代理数量的增加,实现一定水平的概率鲁棒性所需的样品数量。本文提供的所有鲁棒性证书都是不含分发的,可以与任何优化算法一起使用。我们的理论结果伴随着数值案例研究,涉及电动汽车舰队的充电控制问题。

We investigate the probabilistic feasibility of randomized solutions to two distinct classes of uncertain multi-agent optimization programs. We first assume that only the constraints of the program are affected by uncertainty, while the cost function is arbitrary. Leveraging recent a posteriori developments of the scenario approach, we provide probabilistic guarantees for all feasible solutions of the program under study. This result is particularly useful in cases where numerical difficulties related to the convergence of the solution-seeking algorithm hinder the exact quantification of the optimal solution. Furthermore, it can be applied to cases where the agents' incentives lead to a suboptimal solution, e.g., under a non-cooperative setting. We then focus on optimization programs where the cost function admits an aggregate representation and depends on uncertainty while constraints are deterministic. By exploiting the structure of the program under study and leveraging the so called support rank notion, we provide agent-independent robustness certificates for the optimal solution, i.e., the constructed bound on the probability of constraint violation does not depend on the number of agents, but only on the dimension of the agents' decision. This substantially reduces the number of samples required to achieve a certain level of probabilistic robustness as the number of agents increases. All robustness certificates provided in this paper are distribution-free and can be used alongside any optimization algorithm. Our theoretical results are accompanied by a numerical case study involving a charging control problem of a fleet of electric vehicles.

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