Related papers: A Mini-Course on Stochastic Control
This paper concerns some time optimal control problems of three different ordinary differential equations in $\mathbb{R}^2$. Corresponding to certain initial data and controls, the solutions of the systems quench at finite time. The goal to…
In formation control, an ensemble of autonomous agents is required to stabilize at a given configuration in the plane, doing so while agents are allowed to observe only a subset of the ensemble. As such, formation control provides a rich…
In this series of lectures, we would like to introduce the audience to quantum optimal control. The first lecture will cover basic ideas and principles of optimal control with the goal of demystifying its jargon. The second lecture will…
This article deals with a stochastic control problem for certain fluids of non-Newtonian type. More precisely, the state equation is given by the two-dimensional stochastic second grade fluids perturbed by a multiplicative white noise. The…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo…
In this paper the connection between stochastic optimal control and reinforcement learning is investigated. Our main motivation is to apply importance sampling to sampling rare events which can be reformulated as an optimal control problem.…
This paper deals with the existence of solutions for an elliptic system of partial differential equations. The solution method is based on the sub- and super-solutions approach. An application to a stochastic control problem is presented.…
Stochastic thermodynamics lays down a broad framework to revisit the venerable concepts of heat, work and entropy production for individual stochastic trajectories of mesoscopic systems. Remarkably, this approach, relying on stochastic…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
In this paper, we investigate a decentralized control problem with nested subsystems, which is a general model for one-directional communication amongst many subsystems. The noises in our dynamics are modelled as uncertain variables which…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
We consider linear hyperbolic balance law that describe gas flow. Stochastic influences are introduced by series of orthogonal functions. A deterministic stabilization concept, which makes deviations at steady states decay exponentially…
We present a novel class of minimax optimal control problems with positive dynamics, linear objective function and homogeneous constraints. The proposed problem class can be analyzed with dynamic programming and an explicit solution to the…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
This paper considers the relaxed version of the transport problem for general nonlinear control systems, where the objective is to design time-varying feedback laws that transport a given initial probability measure to a target probability…
The main objective of this article is to develop a matrix pencil approach for the study of the controllability and reachability of a class of linear singular discrete time systems. The description equation of a practical system may be…
In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components: the…
This paper presents two stochastic model predictive control methods for linear time-invariant systems subject to unbounded additive uncertainties. The new methods are developed by formulating the chance constraints into deterministic form,…