Related papers: Optimal Control with Noisy Time
The risk-neutral LQR controller is optimal for stochastic linear dynamical systems. However, the classical optimal controller performs inefficiently in the presence of low-probability yet statistically significant (risky) events. The…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
This paper studies a continuous-time stochastic linear-quadratic (SLQ) optimal control problem on infinite-horizon. A data-driven policy iteration algorithm is proposed to solve the SLQ problem. Without knowing three system coefficient…
The Inverse Optimal Control (IOC) problem is a structured system identification problem that aims to identify the underlying objective function based on observed optimal trajectories. This provides a data-driven way to model experts'…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…
A general and new stochastic linear quadratic optimal control problem is studied, where the coefficients are allowed to be time-varying, and both state delay and control delay can appear simultaneously in the state equation and the cost…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
An optimal control problem for the linear wave equation with control cost chosen as the BV semi-norm in time is analyzed. This formulation enhances piecewise constant optimal controls and penalizes the number of jumps. Existence of optimal…
We propose a time-implicit, finite-element based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control problem with the stochastic heat equation driven by linear…
This paper mainly establishes the finite-horizon stochastic bounded real lemma, and then solves the $H_{\infty}$ control problem for discrete-time stochastic linear systems defined on the separable Hilbert spaces, thereby unifying the…
The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…
Mean field optimal control problems are a class of optimization problems that arise from optimal control when applied to the many body setting. In the noisy case one has a set of controllable stochastic processes and a cost function that is…
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal…
This paper investigates the optimal control problem for a class of discrete-time stochastic systems subject to additive and multiplicative noises. A stochastic Lyapunov equation and a stochastic algebra Riccati equation are established for…
In this paper, we solve the long-standing fundamental problem of irregular linear--quadratic (LQ) optimal control, which has received significant attention since the 1960s. We derive the optimal controllers via the key technique of finding…
This letter addresses optimal controller design for periodic linear time-varying systems under unknown-but-bounded disturbances. We introduce differential Lyapunov-type equations to describe time-varying inescapable ellipsoids and define an…
Necessary optimality conditions and numerical methods for solving an optimal control problem for a linear continuous-time dynanical system with controlled coefficients and quadratic goal functional are discussed.