Related papers: Min-Plus Techniques for Set-Valued State Estimatio…
From the Hamilton-Jacobi-Bellman equation for the value function we derive a non-linear partial differential equation for the optimal portfolio strategy (the dynamic control). The equation is general in the sense that it does not depend on…
This paper draws on two sources of motivation: (1) The European Union Emission Trading Scheme (EU-ETS) aims at limiting the overall emissions of greenhouse gases. The optimal abatement strategy of companies for the use of emission permits…
This paper presents an inverse optimality method to solve the Hamilton-Jacobi-Bellman equation for a class of nonlinear problems for which the cost is quadratic and the dynamics are affine in the input. The method is inverse optimal because…
In this paper, a new filter model called set-membership Kalman filter for nonlinear state estimation problems was designed, where both random and unknown but bounded uncertainties were considered simultaneously in the discrete-time system.…
This paper investigates the state estimation problem for a class of complex networks, in which the dynamics of each node is subject to Gaussian noise, system uncertainties and nonlinearities. Based on a regularized least-squares approach,…
We develop a comprehensive mathematical and computational framework for optimal production planning in economies governed by stochastic regime switches driven by a continuous-time Markov chain. The value functions of the underlying…
In this paper, we consider the distributed robust filtering problem, where estimator design is based on a set of coupled linear matrix inequalities (LMIs). We separate the problem and show that the method of multipliers can be applied to…
We propose an optimization formulation for the simultaneous estimation of a latent variable and the identification of a linear continuous-time dynamic system, given a single input-output pair. We justify this approach based on Bayesian…
This work considers infinite-horizon optimal control of positive linear systems applied to the case of network routing problems. We demonstrate the equivalence between Stochastic Shortest Path (SSP) problems and optimal control of a certain…
In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…
We introduce a max-plus analogue of the Petrov-Galerkin finite element method, to solve finite horizon deterministic optimal control problems. The method relies on a max-plus variational formulation, and exploits the properties of…
In this paper we investigate a dynamic stochastic portfolio optimization problem involving both the expected terminal utility and intertemporal utility maximization. We solve the problem by means of a solution to a fully nonlinear…
State estimation and sensor selection problems for nonlinear networks and systems are ubiquitous problems that are important for the control, monitoring, analysis, and prediction of a large number of engineered and physical systems. Sensor…
In this work, we propose a class of numerical schemes for solving semilinear Hamilton-Jacobi-Bellman-Isaacs (HJBI) boundary value problems which arise naturally from exit time problems of diffusion processes with controlled drift. We…
This paper presents a learning-based optimal control framework for safety-critical systems with parametric uncertainties, addressing both time-triggered and self-triggered controller implementations. First, we develop a robust control…
In this manuscript, we investigate importance sampling methods for rare-event simulation in diffusion processes. We show, from a large-deviation perspective, that the resulting importance sampling estimator is log-efficient. This connection…
The problem of estimating the $\mathcal{H}_\infty$-norm of an LTI system from noisy input/output measurements has attracted recent attention as an alternative to parameter identification for bounding unmodeled dynamics in robust control. In…
In this paper we consider a family of optimal control problems for economic models whose state variables are driven by Delay Differential Equations (DDE's). We consider two main examples: an AK model with vintage capital and an advertising…
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…