Related papers: Finite-horizon optimal multiple switching with sig…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
For a general optimal control problem for dynamical systems with hybrid dynamics, we study the dependency of the optimal cost and of the value function on the initial conditions, parameters, and perturbations. We show that upper and lower…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
This study investigates the infinite-horizon optimal control problem for switched Boolean control networks with an average-cost criterion. A primary challenge of this problem is the prohibitively high computational cost when dealing with…
We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…
We investigate modifications to Bayesian Optimization for a resource-constrained setting of sequential experimental design where changes to certain design variables of the search space incur a switching cost. This models the scenario where…
We develop a neural-network framework for multi-period risk--reward stochastic control problems with constrained two-step feedback policies that may be discontinuous in the state. We allow a broad class of objectives built on a…
We consider an impulse control problem in infinite horizon applied with switching technology. We suppose that the firm decides at certain moments (impulse moments) to switch technology, leading to a jump of the firm value. We show that the…
We propose a Model Predictive Control (MPC) with a single-step prediction horizon to approximate the solution of infinite horizon optimal control problems with the expected sum of convex stage costs for constrained linear uncertain systems.…
In this paper, we consider the infinite horizon optimal control problem for nonlinear systems. Under the conditions of controllability of the linearized system around the origin, and nonlinear controllability of the system to a terminal set…
Infinite horizon optimal stopping problems for a L\'evy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
This note proposes a distributed model predictive control (DMPC) scheme with switched cost functions for a class of spatially interconnected systems with communication constraints. Non-iterative and parallel communication strategy is…
We consider the optimal control design problem for discrete-time LTI systems with state feedback, when the actuation signal is subject to unmeasurable switching propagation delays, due to e.g. the routing in a multi-hop communication…
The problem of stochastic deadline scheduling is considered. A constrained Markov decision process model is introduced in which jobs arrive randomly at a service center with stochastic job sizes, rewards, and completion deadlines. The…
We propose a new LMI approach to the design of optimal switching sequences for polynomial dynamical systems with state constraints. We formulate the switching design problem as an optimal control problem which is then relaxed to a linear…
We consider the optimal stopping problem with non-linear $f$-expectation (induced by a BSDE) without making any regularity assumptions on the reward process $\xi$. and with general filtration. We show that the value family can be aggregated…
In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the…
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous…
Past work proposed an extension to finite control set model predictive control to track both a current reference and a switching frequency reference, simultaneously. Such an objective can jeopardize the current tracking performance, and…