Related papers: On Optimal Zero-Delay Coding of Vector Markov Sour…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
In the Markov decision process model, policies are usually evaluated by expected cumulative rewards. As this decision criterion is not always suitable, we propose in this paper an algorithm for computing a policy optimal for the quantile…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
We propose a vector linear programming formulation for a non-stationary, finite-horizon Markov decision process with vector-valued rewards. Pareto efficient policies are shown to correspond to efficient solutions of the linear program, and…
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (minimize…
The goal of this paper is to analyze distributional Markov Decision Processes as a class of control problems in which the objective is to learn policies that steer the distribution of a cumulative reward toward a prescribed target law,…
We consider the problem of zero-delay coding of a dynamical system over a discrete noiseless channel under three estimation criteria concerned with the low-distortion regime. For these three criteria, formulated stochastically in terms of a…
We address the problem of delay in an arithmetic coding system. Due to the nature of the arithmetic coding process, source sequences causing arbitrarily large encoding or decoding delays exist. This phenomena raises the question of just how…
We first show that the discounted cost, cost up to an exit time, and ergodic cost involving controlled non-degenerate diffusions are continuous on the space of stationary control policies when the policies are given a topology introduced by…
Optimal control synthesis in stochastic systems with respect to quantitative temporal logic constraints can be formulated as linear programming problems. However, centralized synthesis algorithms do not scale to many practical systems. To…
Our understanding of information in systems has been based on the foundation of memoryless processes. Extensions to stable Markov and auto-regressive processes are classical. Berger proved a source coding theorem for the marginally unstable…
As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow…
We develop a quadratic regularization approach for the solution of high-dimensional multistage stochastic optimization problems characterized by a potentially large number of time periods/stages (e.g. hundreds), a high-dimensional resource…
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming…
We investigate the combination between causal/zero-delay source coding and information-theoretic secrecy. Two source coding models with secrecy constraints are considered. We start by considering zero-delay perfectly secret lossless…
This paper deals with the computation of a non-asymptotic lower bound by means of the nonanticipative rate-distortion function (NRDF) on the discrete-time zero-delay variable-rate lossy compression problem for discrete Markov sources with…
We solve a linear quadratic optimal control problem for sampled-data systems with stochastic delays. The delays are stochastically determined by the last few delays. The proposed optimal controller can be efficiently computed by iteratively…
In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…