Related papers: On the minimum exit rate for a diffusion process p…
This paper studies a diffusion model that arises as the limit of a queueing system scheduling problem in the asymptotic heavy traffic regime of Halfin and Whitt. The queueing system consists of several customer classes and many servers…
We study optimal control problems for interacting branching diffusion processes, a class of measure-valued dynamics capturing both spatial motion and branching mechanisms. From the perspective of the dynamic programming principle, we…
The majority of existing probabilistic model checking case studies are based on well understood theoretical models and distributions. However, real-life probabilistic systems usually involve distribution parameters whose values are obtained…
We prove the dynamic programming principle for a class of diffusion processes controlled up to the time of exit from a cylindrical region $[0,T)\times G$. It is assumed that the functional to be maximized is in the Lagrange form with…
A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an optimal control problem without stopping. This is motivated…
A controlled branching process (CBP) is a modification of the standard Bienaym\'e-Galton-Watson process in which the number of progenitors in each generation is determined by a random mechanism. We consider a CBP starting from a random…
This work extends the studies on the minimum and extremal process of a supercritical branching random walk outside the boundary case which cannot be reduced to the boundary case. We study here the situation where the log-generating function…
In this paper, we study a parabolic reaction diffusion system with constraints that model biofilm growth. Within a unified framework encompassing multiple numerical schemes, we derive the first general convergence rates for approximating…
The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…
This paper studies distributed optimal formation control with hard constraints on energy levels and termination time, in which the formation error is to be minimized jointly with the energy cost. The main contributions include a globally…
Scenario reduction algorithms can be an effective means to provide a tractable description of the uncertainty in optimal control problems. However, they might significantly compromise the performance of the controlled system. In this paper,…
A central goal of thermodynamics is to identify optimal processes during which the least amount of energy is dissipated into the environment. Generally, even for simple systems, such as the parametric harmonic oscillator, optimal control…
In this paper, we consider the closed-loop control problem of nonlinear robotic systems in the presence of probabilistic uncertainties and disturbances. More precisely, we design a state feedback controller that minimizes deviations of the…
In this paper, we develop a novel dynamic distributed optimal safe consensus protocol to simultaneously achieve safety requirements and output optimal consensus. Specifically, we construct a distributed projection optimization algorithm…
We give the solution to the minimum-energy control problem for linear stochastic systems. The problem is as follows: given an exactly controllable system, find the control process with the minimum expected energy that transfers the system…
In this paper, we consider a risk-averse control problem for diffusion processes, in which there is a partition of the admissible control strategy into two decision-making groups (namely, the {\it leader} and {\it follower}) with different…
Physical systems driven away from equilibrium by an external controller dissipate heat to the environment; the excess entropy production in the thermal reservoir can be interpreted as a "cost" to transform the system in a finite time. The…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…
This paper studies the problem of selecting a minimum-size set of input nodes to guarantee stability of a networked system in the presence of uncertainties and time delays. Current approaches to input selection in networked dynamical…
Exploiting a fluid dynamic formulation for which a probabilistic counterpart might not be available, we extend the theory of Schroedinger bridges to the case of inertial particles with losses and general, possibly singular diffusion…