Related papers: A Dynamic Programming Approach to Finite-horizon C…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
This paper studies a discrete-time stochastic control problem with linear quadratic criteria over an infinite-time horizon. We focus on a class of control systems whose system matrices are associated with random parameters involving unknown…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
This paper studies the data-driven synthesis of linear quadratic integral (LQI) controllers for continuous-time systems. The objective is to achieve optimal state-feedback control with integral action for reference tracking using only…
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and…
Optimal control theory aims to find an optimal protocol to steer a system between assigned boundary conditions while minimizing a given cost functional in finite time. Equations arising from these types of problems are often non-linear and…
Optimal control theory and machine learning techniques are combined to formulate and solve in closed form an optimal control formulation of online learning from supervised examples with regularization of the updates. The connections with…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…
The mathematical framework of hybrid system is a recent and general tool to treat control systems involving control action of heterogeneous nature. In this paper, we construct and test a semi-Lagrangian numerical scheme for solving the…
This paper studies the linear-quadratic (LQ) optimal control problem of a class of systems governed by the first-order hyperbolic partial differential equations (PDEs) with final state constraints. The main contribution is to present the…
We consider the problem of selectively controlling couplings in a practical quantum processor with always-on interactions that are diagonal in the computational basis, using sequences of local NOT gates. This methodology is well-known in…
We study model-free learning methods for the output-feedback Linear Quadratic (LQ) control problem in finite-horizon subject to subspace constraints on the control policy. Subspace constraints naturally arise in the field of distributed…
An optimal control problem with an infinite horizon quadratic cost functional for a linear system with a known additive disturbance is considered. The feature of this problem is that a weight matrix of the control cost in the cost…
This paper mainly establishes the finite-horizon stochastic bounded real lemma, and then solves the $H_{\infty}$ control problem for discrete-time stochastic linear systems defined on the separable Hilbert spaces, thereby unifying the…
This paper studies the stochastic optimal control problem for systems with unknown dynamics. First, an open-loop deterministic trajectory optimization problem is solved without knowing the explicit form of the dynamical system. Next, a…
This paper investigates the optimal control problem for a class of nonlinear fully coupled forward-backward stochastic difference equations (FBS$\Delta$Es). Under the convexity assumption of the control domain, we establish a variational…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
A new formalism for the optimal control of quantum mechanical physical observables is presented. This approach is based on an analogous classical control technique reported previously[J. Botina, H. Rabitz and N. Rahman, J. chem. Phys. Vol.…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
Optimal control is highly desirable in many current quantum systems, especially to realize tasks in quantum information processing. We introduce a method based on differentiable programming to leverage explicit knowledge of the differential…