Related papers: Decomposition of large-scale stochastic optimal co…

Gas-fired generators, with their ability to quickly ramp up and down their electricity production, play an important role in managing renewable energy variability. However, these changes in electricity production translate into variability…

We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…

We consider a multi-period stochastic control problem where the multivariate driving stochastic factor of the system has known marginal distributions but uncertain dependence structure. To solve the problem, we propose to implement the…

Motivated by optimal execution with stochastic signals, market impact and constraints in financial markets, and optimal storage management in commodity markets, we formulate and solve an optimal trading problem with a general propagator…

We address the design and synthesis of optimal control strategies for high-dimensional stochastic dynamical systems. Such systems may be deterministic nonlinear systems evolving from random initial states, or systems driven by random…

In energy management, it is common that strategic investment decisions (storage capacity, production units) are made at a slow time scale, whereas operational decisions (storage, production) are made at a fast time scale: for such problems,…

We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…

This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…

Recent low-thrust space missions have highlighted the importance of designing trajectories that are robust against uncertainties. In its complete form, this process is formulated as a nonlinear constrained stochastic optimal control…

This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…

This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…

In this article we approach a class of stochastic reachability problems with state constraints from an optimal control perspective. Preceding approaches to solving these reachability problems are either confined to the deterministic setting…

We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator…

This work is concerned with the finite-horizon optimal covariance steering of networked systems governed by discrete-time stochastic linear dynamics. In contrast with existing work that has only considered systems with dynamically decoupled…

This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…

We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…

We consider the problem of robotic planning under uncertainty in this paper. This problem may be posed as a stochastic optimal control problem, a solution to which is fundamentally intractable owing to the infamous "curse of…

Considering increasing distributed energy resources and responsive loads in smart grid, this paper proposes a stochastic simulation approach for stability analysis of a power system having stochastic loads. The proposed approach solves a…

This paper studies the partially observed stochastic optimal control problem for systems with state dynamics governed by partial differential equations (PDEs) that leads to an extremely large problem. First, an open-loop deterministic…

This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…