Related papers: Value Function in Maximum Hands-off Control
We study the problem of estimating the value function of discrete-time switched systems under arbitrary switching. Unlike the switched LQR problem, where both inputs and mode sequences are optimized, we consider the case where switching is…
This paper presents a novel convex optimization-based method for finding the globally optimal solutions of a class of mixed-integer non-convex optimal control problems. We consider problems with non-convex constraints that restrict the…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
In this paper, we investigate stochastic versions of the Hopf-Lax formula which are based on compositions of the Hopf-Lax operator with the transition kernel of a L\'evy process taking values in a separable Banach space. We show that,…
With reference to an optimal control problem where the state has to approach asymptotically a closed target while paying a non-negative integral cost, we propose a generalization of the classical dissipative relation that defines a Control…
This paper deals with the design of time-invariant memoryless control policies for robots that move in a finite two- dimensional lattice and are tasked with persistent surveillance of an area in which there are forbidden regions. We model…
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…
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…
We study the optimal value function for control problems on Banach spaces that involve both continuous and discrete control decisions. For problems involving semilinear dynamics subject to mixed control inequality constraints, one can show…
We deal with finite dimensional linear and nonlinear control systems. If the system is linear and autonomous and satisfies the classical normality assumption, we improve the well known result on the strict convexity of the reachable set…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
In the Maslov idempotent probability calculus, expectations of random variables are defined so as to be linear with respect to max-plus addition and scalar multiplication. This paper considers control problems in which the objective is to…
A central question in modern machine learning and imaging sciences is to quantify the number of effective parameters of vastly over-parameterized models. The degrees of freedom is a mathematically convenient way to define this number of…
We study here the impulse control minimax problem. We allow the cost functionals and dynamics to be unbounded and hence the value functions can possibly be unbounded. We prove that the value function of the problem is continuous. Moreover,…
Reinforcement learning (RL) has become the de facto method for achieving locomotion on humanoid robots in practice, yet stability analysis of the corresponding control policies is lacking. Recent work has attempted to merge control…
A novel set-theoretical approach to hands-off control is proposed, focusing on spatial arguments for command limitation rather than temporal ones. By employing dynamical feedback alongside invariant set-based constraints, actuation is…
We consider nonlinear optimal control problems (OCPs) for which all problem data are polynomial. In the first part of the paper, we review how occupation measures can be used to approximate pointwise the optimal value function of a given…
We consider the $\mathbb{H}_2$-optimal feedback control problem, for the case in which the plant is passive with bounded $\mathbb{L}_2$ gain, and the feedback law is constrained to be output-strictly passive. In this circumstance, we show…
The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In…
We consider the simplest optimal control problem with one nonregular mixed inequality constraint, i.e. when its gradient in the control can vanish on the zero surface. Using the Dubovitskii--Milyutin theorem on the approximate separation of…