Uncertainty is inherent in bioprocess modelling and control. Typically, uncertainties are handled using either the stochastic approach or robust approach. Recently, risk-averse approach, i.e., an interpolation between worst-case gaining popularity. Risk-averse formulations very useful avoiding conservative solutions while still handling high-effect, low-probability events. In bioreactor case co...

We develop a dynamic trading strategy in the Linear Quadratic Regulator (LQR) framework. By including price mean-reversion signal into optimization program, environment where market impact is linear and stage costs are quadratic, we obtain an optimal curve that reacts opportunistically to changes while retaining its ability satisfy smooth or hard completion constraints. The allocation affine sp...