Related papers: A non-autonomous stochastic discrete time system w…
We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of…
In this survey we present the near-optimal stochastic control problem according to some recent tools in the literature. In particular, we focus on the approach of a discretization of the noise values instead of the canonical…
Optimal control of bilinear systems has been a well-studied subject in the areas of mathematical and computational optimal control. However, effective methods for solving emerging optimal control problems involving an ensemble of…
This paper studies a time optimal control problem with control constraints of the rectangular type for the linear multi-input time-varying ordinary differential equations. The aims of this study are to establish certain necessary and…
This paper proposes a novel method for designing finite-horizon discrete-valued switching signals in linear switched systems based on discreteness-promoting regularization. The inherent combinatorial optimization problem is reformulated as…
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…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
We consider non-parametric Bayesian estimation of the drift coefficient of a one-dimensional stochastic differential equation from discrete-time observations on the solution of this equation. Under suitable regularity conditions that are…
This paper focuses on the linear quadratic control (LQC) design of systems corrupted by both stochastic noise and bounded noise simultaneously. When only of these noises are considered, the LQC strategy leads to stochastic or robust…
This paper presents an optimal dynamic control framework for bounded Jacobian nonlinear discrete-time (DT) systems with nonlinear observations affected by both state and process noise. Rather than directly stabilizing the uncertain system,…
A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the cost weighting matrices. From some abstract representations of…
We focus on the problem of optimal control of large-scale systems whose models are obtained by discretization of partial differential equations using the Finite Element (FE) or Finite Difference (FD) methods. The motivation for studying…
In this paper we develop a novel, discrete-time optimal control framework for mechanical systems with uncertain model parameters. We consider finite-horizon problems where the performance index depends on the statistical moments of 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…
Optimal control of bilinear systems has been a well-studied subject in the area of mathematical control. However, techniques for solving emerging optimal control problems involving an ensemble of structurally identical bilinear systems are…
This technical note considers the identification of nonlinear discrete-time systems with additive process noise but without measurement noise. In particular, we propose a method and its associated algorithm to identify the system nonlinear…
This paper investigates the optimal control problem for a class of discrete-time stochastic systems subject to additive and multiplicative noises. A stochastic Lyapunov equation and a stochastic algebra Riccati equation are established for…
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…