Related papers: A max-plus based fundamental solution for a class …
This paper studies the optimal control problem for discrete-time nonlinear systems and an approximate dynamic programming-based Model Predictive Control (MPC) scheme is proposed for minimizing a quadratic performance measure. In the…
We study the quadratic regulator problem on a finite time horizon for the wave equation with high internal damping controlled on the boundary by square integrable controls. The approach in this paper transforms the wave equation with high…
In the past couple of decades, non-quadratic convex penalties have reshaped signal processing and machine learning; in robust control, however, general convex costs break the Riccati and storage function structure that make the design…
This paper is concerned with the linear quadratic optimal control of discrete-time time-varying system with terminal state constraint. The main contribution is to propose a Q-learning algorithm for the optimal controller when the…
We derive closed-form extensions of Riccati's recursions (both sequential and parallel) for solving dual-regularized LQR problems. We show how these methods can be used to solve general constrained, non-convex, discrete-time optimal control…
In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is…
In this paper, the solvability of discrete-time stochastic linear-quadratic (LQ) optimal control problem in finite horizon is considered. Firstly, it shows that the closed-loop solvability for the LQ control problem is optimal if and only…
Max-Plus Linear (MPL) systems are an algebraic formalism with practical applications in transportation networks, manufacturing and biological systems. In this paper, we investigate the problem of automatically analyzing the properties of…
In this paper we study the quadratic regulator problem for a process governed by a Volterra integral equation in ${\mathbb R}^n$. Our main goal is the proof that it is possible to associate a Riccati differential equation to this quadratic…
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…
We propose an efficient algorithm for the optimal control problems (OCPs) of nonlinear switched systems that optimizes the control input and switching instants simultaneously for a given switching sequence. We consider the switching…
This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the…
We propose a parallel adaptive constraint-tightening approach to solve a linear model predictive control problem for discrete-time systems, based on inexact numerical optimization algorithms and operator splitting methods. The underlying…
This paper addresses the mean-square optimal control problem for \a class of discrete-time linear systems with a quasi-colored control-dependent multiplicative noise via output feedback. The noise under study is novel and shown to have…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
This paper addresses the problem of steering the distribution of the state of a discrete-time linear system to a given target distribution while minimizing an entropy-regularized cost functional. This problem is called a maximum entropy…
Recently, a max-plus dual space fundamental solution semigroup for a class of difference Riccati equation (DRE) has been developed. This fundamental solution semigroup is represented in terms of the kernel of a specific max-plus linear…
In the Maslov idempotent probability calculus, expectations of random variables are defined so as to be linear with respect to max-plus addition and scalar multiplication. This paper considers control problems in which the objective is to…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
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…