Related papers: Sequential Linear Quadratic Optimal Control for No…
This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…
Optimal control of switched systems is challenging due to the discrete nature of the switching control input. The embedding-based approach addresses this challenge by solving a corresponding relaxed optimal control problem with only…
The problem of optimal switching between nonlinear autonomous subsystems is investigated in this study where the objective is not only bringing the states to close to the desired point, but also adjusting the switching pattern, in the sense…
We propose an efficient algorithm for the optimal control problems (OCPs) of nonlinear switched systems that optimizes the control input and switching instants simultaneously for a given switching sequence. We consider the switching…
This paper discusses a method enabling optimal control of nonlinear systems that are subject to parametric uncertainty. A stochastic optimal tracking problem is formulated that can be expressed in function of the first two stochastic…
This paper addresses the optimal control problem known as the Linear Quadratic Regulator in the case when the dynamics are unknown. We propose a multi-stage procedure, called Coarse-ID control, that estimates a model from a few experimental…
An isoperimetric optimal control problem with non-convex cost is considered for a class of nonlinear control systems with periodic boundary conditions. This problem arises in chemical engineering as the maximization of the product of…
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…
Linear-Quadratic optimal controls are computed for a class of boundary controlled, boundary observed hyperbolic infinite-dimensional systems, which may be viewed as networks of waves. The main results of this manuscript consist in…
A sequential quadratic programming method is designed for solving general smooth nonlinear stochastic optimization problems subject to expectation equality constraints. We consider the setting where the objective and constraint function…
Sequential quadratic optimization algorithms are proposed for solving smooth nonlinear optimization problems with equality constraints. The main focus is an algorithm proposed for the case when the constraint functions are deterministic,…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…
We present the conditions under which the time-optimal control problem for a nonlinear non-autonomous linearizable system can be solved by the method of successive approximations, at each step of which a power Markov moment min-problem is…
We study the problem of estimating the value function of discrete-time switched systems under arbitrary switching. Unlike the switched LQR problem, where both inputs and mode sequences are optimized, we consider the case where switching is…
We consider stochastic optimal control of linear dynamical systems with additive non-Gaussian disturbance. We propose a novel, sampling-free approach, based on Fourier transformations and convex optimization, to cast the stochastic optimal…
Inspired by the successes of stochastic algorithms in the training of deep neural networks and the simulation of interacting particle systems, we propose and analyze a framework for randomized time-splitting in linear-quadratic optimal…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…
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…