Related papers: Risk-Sensitive Control and an Abstract Collatz-Wie…
This manuscript studies the Minkowski-Bellman equation, which is the Bellman equation arising from finite or infinite horizon optimal control of unconstrained linear discrete time systems with stage and terminal cost functions specified as…
In this article, we study the existence of insensitizing controls for a nonlinear reaction-diffusion equation with dynamic boundary conditions. Here, we have a partially unknown data of the system, and the problem consists in finding…
A multiplicative relative value iteration algorithm for solving the dynamic programming equation for the risk-sensitive control problem is studied for discrete time controlled Markov chains with a compact Polish state space, and controlled…
Eigenvalues in the essential spectrum of a weighted Sturm-Liouville operator are studied under the assumption that the weight function has one turning point. An abstract approach to the problem is given via a functional model for indefinite…
In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion with finite time horizon. The used methodology is the one of…
The Receding Horizon Control (RHC) strategy consists in replacing an infinite-horizon stabilization problem by a sequence of finite-horizon optimal control problems, which are numerically more tractable. The dynamic programming principle…
In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite…
We study a linear-quadratic, optimal control problem on a discrete, finite time horizon with distributional ambiguity, in which the cost is assessed via Conditional Value-at-Risk (CVaR). We take steps toward deriving a scalable dynamic…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
We establish the turnpike property for linear quadratic control problems for which the control operator is admissible and may be unbounded, under quite general and natural assumptions. The turnpike property has been well studied for bounded…
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…
In this paper we deal with infinite horizon optimal control problems. Basing on weak variations in an extremal problem in weighted function spaces we prove necessary conditions in form of the adjoint equation and a variational inequality.…
This work analyzes how the trade-off between the modeling error, the terminal value function error, and the prediction horizon affects the performance of a nominal receding-horizon linear quadratic (LQ) controller. By developing a novel…
In this paper we formulate a risk-sensitive optimal control problem for continuously monitored open quantum systems modelled by quantum Langevin equations. The optimal controller is expressed in terms of a modified conditional state, which…
This paper is concerned with a kind of risk-sensitive optimal control problem for fully coupled forward-backward stochastic systems. The control variable enters the diffusion term of the state equation and the control domain is not…
Conditional value at risk (CVaR) is a popular measure for quantifying portfolio risk. Sensitivity analysis of CVaR is very useful in risk management and gradient-based optimization algorithms. In this paper, we study the infinitesimal…
This paper proposes a safety analysis method that facilitates a tunable balance between the worst-case and risk-neutral perspectives. First, we define a risk-sensitive safe set to specify the degree of safety attained by a stochastic…
This paper studies regularity property of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity'…
We consider an infinite horizon optimal control problem for a continuous-time Markov chain $X$ in a finite set $I$ with noise-free partial observation. The observation process is defined as $Y_t = h(X_t)$, $t \geq 0$, where $h$ is a given…
We investigate the Distributionally Robust Regret-Optimal (DR-RO) control of discrete-time linear dynamical systems with quadratic cost over an infinite horizon. Regret is the difference in cost obtained by a causal controller and a…