Related papers: Stochastic optimal control using semidefinite prog…
In this paper, we consider the problem of optimizing the worst-case behavior of a partially observed system. All uncontrolled disturbances are modeled as finite-valued uncertain variables. Using the theory of cost distributions, we present…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
In this paper, we consider the implementation of multi-level Monte Carlo method to a stochastic optimal control problem with log-normal coefficients and its surrogate model problem. From the perspective of two optimization problems, i.e.,…
We consider the optimal regulation problem for nonlinear control-affine dynamical systems. Whereas the linear-quadratic regulator (LQR) considers optimal control of a linear system with quadratic cost function, we study polynomial systems…
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…
This work presents a novel algorithm for impulsive optimal control of linear time-varying systems with the inclusion of input magnitude constraints. Impulsive optimal control problems, where the optimal input solution is a sum of delta…
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…
A method of optimal control computation is proposed for problems with control and state constraints. It uses a sequence of control structure adjustments in the form of generations and reductions of nodes and arcs, which do not change the…
In this paper, we first introduce a new spatial-temporal interaction operator to describe the space-time dependent phenomena. Then we consider the stochastic optimal control of a new system governed by a stochastic partial differential…
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…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
Technological advancements in miniaturization and wireless communications are yielding more affordable and versatile sensors and, in turn, more applications in which a network of sensors can be actively managed to best support overall…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…