Related papers: Optimal Control with Noisy Time
This paper presents a continuous-time optimal control framework for the generation of reference trajectories in driving scenarios with uncertainty. A previous work presented a discrete-time stochastic generator for autonomous vehicles;…
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We consider stochastic optimal control of linear dynamical systems with additive non-Gaussian disturbance. We propose a novel, sampling-free approach, based on Fourier transformations and convex optimization, to cast the stochastic optimal…
This paper is concerned with the linear quadratic (LQ) optimal control of continuous-time system with terminal state constraint. In particular, multiple agents exist in the system which can only access partial information of the matrix…
We consider the problem of controlling an unknown linear dynamical system in the presence of (nonstochastic) adversarial perturbations and adversarial convex loss functions. In contrast to classical control, the a priori determination of an…
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…
We study the problem of pathwise stochastic optimal control, where the optimization is performed for each fixed realisation of the driving noise, by phrasing the problem in terms of the optimal control of rough differential equations. We…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
A fundamental theory of deterministic linear-quadratic (LQ) control is the equivalent relationship between control problems, two-point boundary value problems and Riccati equations. In this paper, we extend the equivalence to a general…
Reliable optimal control is challenging when the dynamics of a nonlinear system are unknown and only infrequent, noisy output measurements are available. This work addresses this setting of limited sensing by formulating a Bayesian prior…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
Dual control denotes a class of control problems where the parameters governing the system are imperfectly known. The challenge is to find the optimal balance between probing, i.e. exciting the system to understand it more, and caution,…
The inverse linear-quadratic optimal control problem is a system identification problem whose aim is to recover the quadratic cost function and hence the closed-loop system matrices based on observations of optimal trajectories. In this…
This paper is concerned with the problem of Model Predictive Control and Rolling Horizon Control of discrete-time systems subject to possibly unbounded random noise inputs, while satisfying hard bounds on the control inputs. We use a…
In this paper we consider the problem of minimizing a quadratic functional for a discrete-time linear stochastic system with multiplicative noise, on a standard probability space, in infinite time horizon. We show that the necessary and…
We address the role of noise and the issue of efficient computation in stochastic optimal control problems. We consider a class of non-linear control problems that can be formulated as a path integral and where the noise plays the role of…
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…
Control of continuous time dynamics with multiplicative noise is a classic topic in stochastic optimal control. This work addresses the problem of designing infinite horizon optimal controls with stability guarantees for \textit{a single…