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We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…
Numerical ``direct'' approaches to time-optimal control often fail to find solutions that are singular in the sense of the Pontryagin Maximum Principle, performing better when searching for saturated (bang-bang) solutions. In previous work…
Infinite-time nonlinear optimal regulation control is widely utilized in aerospace engineering as a systematic method for synthesizing stable controllers. However, conventional methods often rely on linearization hypothesis, while recent…
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…
Reliable high-fidelity quantum state transformation has always been considered as an inseparable part of quantum information processing. In this regard, Pontryagin maximum principle has proved to play an important role to achieve the…
Output-Feedback Stochastic Model Predictive Control based on Stochastic Optimal Control for nonlinear systems is computationally intractable because of the need to solve a Finite Horizon Stochastic Optimal Control Problem. However, solving…
This work presents an efficient method to solve a class of continuous-time, continuous-space stochastic optimal control problems of robot motion in a cluttered environment. The method builds upon a path integral representation of the…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
An important class of dynamical systems with several practical applications is linear systems with quadratic outputs. These models have the same state equation as standard linear time-invariant systems but differ in their output equations,…
In this paper, we focus on a method based on optimal control to address the optimization problem. The objective is to find the optimal solution that minimizes the objective function. We transform the optimization problem into optimal…
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 consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. The…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
Optimal control theory is usually formulated as an indirect method requiring the solution of a two-point boundary value problem. Practically, the solution is obtained by iterative forward and backward propagation of quantum wavepackets.…
This paper investigates the optimal control of a bilinear damped wave equation over an infinite time horizon. We establish the well-posedness of the controlled system and derive uniform energy estimates. The existence of optimal controls is…
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
This paper studies an infinite horizon optimal control problem for discrete-time linear system and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. In this general…