Related papers: Stochastic minimum-energy control
This paper aims to establish second order necessary conditions for optimal control in quantum stochastic systems. We employ a variational approach, analogous to methods in classical stochastic control, to analyze systems governed by quantum…
To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
This paper addresses a structural design problem in control systems, and explicitly takes into consideration the possible application to large-scale systems. More precisely, we aim to determine and characterize the minimum number of…
We present a novel class of minimax optimal control problems with positive dynamics, linear objective function and homogeneous constraints. The proposed problem class can be analyzed with dynamic programming and an explicit solution to the…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
Global dynamics in nonlinear stochastic systems is often difficult to analyze rigorously. Yet, many excellent numerical methods exist to approximate these systems. In this work, we propose a method to bridge the gap between computation and…
We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…
This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
In this paper, we describe a constrained Lagrangian and Hamiltonian formalism for the optimal control of nonholonomic mechanical systems. In particular, we aim to minimize a cost functional, given initial and final conditions where the…
In this paper, we present an Uzawa-based heuristic that is adapted to some type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale independent subsystems, though linked…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
Stochastic thermodynamics lays down a broad framework to revisit the venerable concepts of heat, work and entropy production for individual stochastic trajectories of mesoscopic systems. Remarkably, this approach, relying on stochastic…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
We review recent progress in optimal control in stochastic thermodynamics. Theoretical advances provide in-depth insight into minimum-dissipation control with either full or limited (parametric) control, and spanning the limits from slow to…
We present the conditions under which the time-optimal control problem for a nonlinear non-autonomous linearizable system can be solved by the method of successive approximations, at each step of which a power Markov moment min-problem is…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
Problem of damping of an arbitrary number of linear oscillators under common bounded control is considered. We are looking for a feedback control steering the system to the equilibrium. The obtained control is asymptotically optimal: the…