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This paper studies the optimal control problem for discrete-time nonlinear systems and an approximate dynamic programming-based Model Predictive Control (MPC) scheme is proposed for minimizing a quadratic performance measure. In the…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterize its…
We deal with the problem of parameter estimation in stochastic differential equations (SDEs) in a partially observed framework. We aim to design a method working for both elliptic and hypoelliptic SDEs, the latters being characterized by…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…
In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
We consider a one dimensional elliptic distributed optimal control problem with pointwise constraints on the derivative of the state. By exploiting the variational inequality satisfied by the derivative of the optimal state, we obtain…
This work discusses the finite element discretization of an optimal control problem for the linear wave equation with time-dependent controls of bounded variation. The main focus lies on the convergence analysis of the discretization…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
We consider the control of semilinear stochastic partial differential equations (SPDEs) via deterministic controls. In the case of multiplicative noise, existence of optimal controls and necessary conditions for optimality are derived. In…
We propose and analyze a new discretization technique for a linear-quadratic optimal control problem involving the fractional powers of a symmetric and uniformly elliptic second oder operator; control constraints are considered. Since these…
We consider constrained bilinear optimal control of second-order linear evolution partial differential equations (PDEs) with a reaction term on the half line, where control arises as a time-dependent reaction coefficient and constraints are…
Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…
In this paper we consider some optimal control problems governed by elliptic partial differential equations. The solution is the state variable, while the control variable is, depending on the case, the coefficient of the PDE, the…
This contribution considers one central aspect of experiment design in system identification. When a control design is based on an estimated model, the achievable performance is related to the quality of the estimate. The degradation in…
This paper studies stochastic control problems with the action space taken to be probability measures, with the objective penalised by the relative entropy. We identify suitable metric space on which we construct a gradient flow for the…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…