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We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
In this paper we study, from a variational and geometrical point of view, second-order variational problems on Lie groupoids and the construction of variational integrators for optimal control problems. First, we develop variational…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
In this work, we will investigate the question of optimal control for bilinear systems with constrained endpoint. The optimal control will be characterized through a set of unconstrained minimization problems that approximate the former.…
We propose a novel reformulation of the stochastic optimal control problem as an approximate inference problem, demonstrating, that such a interpretation leads to new practical methods for the original problem. In particular we characterise…
Derivative based optimization methods are efficient at solving optimal control problems near local optima. However, their ability to converge halts when derivative information vanishes. The inference approach to optimal control does not…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
In this work, we consider optimal control problems for mechanical systems on vector spaces with fixed initial and free final state and a quadratic Lagrange term. Specifically, the dynamics is described by a second order ODE containing an…
We propose and analyze a posteriori error estimates for a control-constrained optimal control problem with bang-bang solutions. We consider a solution strategy based on the variational approach, where the control variable is not…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
In the context of optimal control, we consider the inverse problem of Lagrangian identification given system dynamics and optimal trajectories. Many of its theoretical and practical aspects are still open. Potential applications are very…
Most modern control systems are switched, meaning they have continuous as well as discrete decision variables. Switched systems often have constraints called dwell-time constraints (e.g., cycling constraints in a heat pump) on the switching…
Kernel embeddings of distributions have recently gained significant attention in the machine learning community as a data-driven technique for representing probability distributions. Broadly, these techniques enable efficient computation of…
This paper gives a new solution to the output feedback H2 problem for quadratically invariant communication delay patterns. A characterization of all stabilizing controllers satisfying the delay constraints is given and the decentralized H2…
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…
Direct collocation methods are widely used numerical techniques for solving optimal control problems. The discretization of continuous-time optimal control problems transforms them into large-scale nonlinear programming problems, which…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
In this manuscript, we consider a control system governed by a general ordinary differential equation on a Riemannian manifold, with its endpoints satisfying some inequalities and equalities, and its control constrained to a closed convex…
We reconsider the variational integration of optimal control problems for mechanical systems based on a direct discretization of the Lagrange-d'Alembert principle. This approach yields discrete dynamical constraints which by construction…