Related papers: Computational methods for stochastic control with …
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
We consider policy gradient methods for stochastic optimal control problem in continuous time. In particular, we analyze the gradient flow for the control, viewed as a continuous time limit of the policy gradient method. We prove the global…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…
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…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
In this paper, we consider the problem of minimum-time optimal control for a dynamical system with initial state uncertainties and propose a sequential convex programming (SCP) solution framework. We seek to minimize the expected terminal…
We propose a stochastic MPC scheme using an optimization over the initial state for the predicted trajectory. Considering linear discrete-time systems under unbounded additive stochastic disturbances subject to chance constraints, we use…
In this paper, we investigate an optimal control problem with terminal stochastic linear complementarity constraints (SLCC), and its discrete approximation using the relaxation, the sample average approximation (SAA) and the implicit Euler…
The deployment of autonomous systems in safety-critical environments requires control policies that guarantee satisfaction of complex control specifications. These systems are commonly modeled as nonlinear discrete-time stochastic systems.…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
We present an approach for approximately solving discrete-time stochastic optimal-control problems by combining direct trajectory optimization, deterministic sampling, and policy optimization. Our feedback motion-planning algorithm uses a…
We consider a class of stochastic optimal control problems with partial observation, and study their approximation by discrete-time control problems. We establish a convergence result by using weak convergence technique of Kushner and…
In this paper we develop a novel, discrete-time optimal control framework for mechanical systems with uncertain model parameters. We consider finite-horizon problems where the performance index depends on the statistical moments of the…
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…
We address the design and synthesis of optimal control strategies for high-dimensional stochastic dynamical systems. Such systems may be deterministic nonlinear systems evolving from random initial states, or systems driven by random…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
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…