Related papers: Discrete-Time Approximation of Risk-Averse Control…
This paper is devoted to the numerical analysis of a control constrained distributed optimal control problem subject to a time fractional diffusion equation with non-smooth initial data. The solutions of state and co-state are decomposed…
The aim of this paper is to investigate risk-averse and distributionally robust modeling of Stochastic Optimal Control (SOC) and Markov Decision Process (MDP). We discuss construction of conditional nested risk functionals, a particular…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting diffusion processes is obtained in the present paper. The…
We present a method for optimal control of systems governed by partial differential equations (PDEs) with uncertain parameter fields. We consider an objective function that involves the mean and variance of the control objective, leading to…
This paper considers a risk-constrained infinite-horizon optimal control problem and proposes to solve it in an iterative manner. Each iteration of the algorithm generates a trajectory from the starting point to the target equilibrium state…
In this paper, we consider the problem of controlling a dynamical system such that its trajectories satisfy a temporal logic property in a given amount of time. We focus on multi-affine systems and specifications given as syntactically…
An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…
Controllable diffusion generation often relies on various heuristics that are seemingly disconnected without a unified understanding. We bridge this gap with Diffusion Controller (DiffCon), a unified control-theoretic view that casts…
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control…
We study a linear-quadratic, optimal control problem on a discrete, finite time horizon with distributional ambiguity, in which the cost is assessed via Conditional Value-at-Risk (CVaR). We take steps toward deriving a scalable dynamic…
This paper characterizes the solution to a finite horizon min-max optimal control problem where the system is linear and discrete-time with control and state constraints, and the cost quadratic; the disturbance is negatively costed, as in…
This paper presents conditions for ensuring forward invariance of safe sets under sampled-data system dynamics with piecewise-constant controllers and fixed time-steps. First, we introduce two different metrics to compare the…
In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax theorem, we obtain the variational inequality for cost…
In this paper, we consider a multi-objective control problem for stochastic systems that seeks to minimize a cost of interest while ensuring safety. We introduce a novel measure of safety risk using the conditional value-at-risk and a set…
We consider the control problem with \textit{exit time}. Unlike the Bolza and Mayer problems, in this problem the terminal time of the trajectories is not fixed, but it is the first time at which they reach a given closed subset -…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
We propose a variational formulation of an inverse problem in continuous-time stochastic control, aimed at identifying control costs consistent with a given distribution over trajectories. The formulation is based on minimizing the…
The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…
We consider a continuous-time continuous-space stochastic optimal control problem, where the controller lacks exact knowledge of the underlying diffusion process, relying instead on a finite set of historical disturbance trajectories. In…