Related papers: Optimal steering of a linear stochastic system to …

We consider the existence and first order conditions of optimality for a stochastic optimal control problem inspired by the celebrated FitzHugh-Nagumo model, with nonlinear diffusion term, perturbed by a linear multiplicative Brownian-type…

The purpose of this paper is to review and highlight some connections between the problem of nonlinear smoothing and optimal control of the Liouville equation. The latter has been an active area of recent research interest owing to work in…

This paper considers the problem of steering an arbitrary initial probability density function to an arbitrary terminal one, where the system dynamics is governed by a first-order linear stochastic difference equation. It is a…

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…

In this paper we prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a finite dimensional stochastic differential equation, driven by a multidimensional Wiener process. We drop the usual…

Controlling the evolution of a many-body stochastic system from a disordered reference state to a structured target ensemble, characterized empirically through samples, arises naturally in non-equilibrium statistical mechanics and…

In this work, we present an efficient gradient projection method for solving a class of stochastic optimal control problem with expected integral state constraint. The first order optimality condition system consisting of forward-backward…

A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.

In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…

We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…

In this paper, we consider the problem of steering a family of independent, structurally identical, finite-dimensional stochastic linear systems with variation in system parameters between initial and target states of interest by using an…

We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…

In this paper, we study numerical approximations for optimal control of a class of stochastic partial differential equations with partial observations. The system state evolves in a Hilbert space, whereas observations are given in…

Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…

Denoising diffusion models are a novel class of generative models that have recently become extremely popular in machine learning. In this paper, we describe how such ideas can also be used to sample from posterior distributions and, more…

The increasing amount of controllable generation and consumption in distribution grids poses a severe challenge in keeping voltage values within admissible ranges. Existing approaches have considered different optimal power flow…

This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…

We consider the problem of sampling transition paths between two given metastable states of a molecular system, e.g. a folded and unfolded protein or products and reactants of a chemical reaction. Due to the existence of high energy…

The paper is concerned with a dissipativity theory and robust performance analysis of discrete-time stochastic systems driven by a statistically uncertain random noise. The uncertainty is quantified by the conditional relative entropy of…