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We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation control problem. This problem will be…
This paper designs a model predictive control (MPC) law for constrained linear systems with stochastic additive disturbances and noisy measurements, minimising a discounted cost subject to a discounted expectation constraint. It is assumed…
Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we propose an EM-Control (EM-C) algorithm for solving multi-period finite time horizon stochastic control problems. The new…
Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…
The conventional approach to data-driven inversion framework is based on Gaussian statistics that presents serious difficulties, especially in the presence of outliers in the measurements. In this work, we present maximum likelihood…
The widespread use of industrial refrigeration systems across various sectors contribute significantly to global energy consumption, highlighting substantial opportunities for energy conservation through intelligent control design. As such,…
We propose a practical Bayesian optimization method using Gaussian process regression, of which the marginal likelihood is maximized where the number of model selection steps is guided by a pre-defined threshold. Since Bayesian optimization…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…
We propose a fully backward representation of semilinear PDEs with application to stochastic control. Based on this, we develop a fully backward Monte-Carlo scheme allowing to generate the regression grid, backwardly in time, as the value…
By now Bayesian methods are routinely used in practice for solving inverse problems. In inverse problems the parameter or signal of interest is observed only indirectly, as an image of a given map, and the observations are typically further…
In this paper, we analyze Gaussian processes using statistical mechanics. Although the input is originally multidimensional, we simplify our model by considering the input as one-dimensional for statistical mechanical analysis. Furthermore,…
We consider the decentralized power optimization problem for Gaussian fast-fading multiple access channel (MAC) so that the average sum-throughput is maximized. In our MAC setup, each transmitter has access to only its own fading…
Likelihood-free (a.k.a. simulation-based) inference problems are inverse problems with expensive, or intractable, forward models. ODE inverse problems are commonly treated as likelihood-free, as their forward map has to be numerically…
A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. A novel Bayesian theory is developed for detecting a…
The consensus control with optimal cost remains major challenging although consensus control problems have been well studied in recent years. In this paper, we study the consensus control of multi-agent system associated with a given cost…
Bayesian optimisation is an adaptive sampling strategy for constructing a Gaussian process surrogate to efficiently search for the global minimum of a black-box computational model. Gaussian processes have limited applicability in…
We deal with a new maximum principle-based stochastic control model for river management through operating a dam and reservoir system. The model is based on coupled forward-backward stochastic differential equations (FBSDEs) derived from…
Likelihood-based policy gradient methods are the dominant approach for training robot control policies from rewards. These methods rely on differentiable action likelihoods, which constrain policy outputs to simple distributions like…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…