Related papers: Parameter-dependent Stochastic Optimal Control in …
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in…
We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…
In this paper, we examine the fundamental performance limitations in the control of stochastic dynamical systems; more specifically, we derive generic $\mathcal{L}_p$ bounds that hold for any causal (stabilizing) controllers and any…
Stochastic dynamic control systems relate in a prob- abilistic fashion the space of control signals to the space of corresponding future states. Consequently, stochastic dynamic systems can be interpreted as an information channel between…
In this paper we focus on a general type of mean-field stochastic control problem with partial observation, in which the coefficients depend in a non-linear way not only on the state process $X_t$ and its control $u_t$ but also on the…
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…
A stochastic procedure is developed which allows one to express Pontryagin's maximum principle for dissipative quantum system solely in terms of stochastic wave functions. Time-optimal controls can be efficiently computed without computing…
This paper introduces a novel approach to the optimal control of linear discrete-time systems subject to bounded disturbances. Our approach is based on the newly established duality between ellipsoidal approximations of reachable and hardly…
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…
This paper presents a continuous-time optimal control framework for the generation of reference trajectories in driving scenarios with uncertainty. A previous work presented a discrete-time stochastic generator for autonomous vehicles;…
This article develops a method to construct the optimal sequential test for monitoring the changes in the distribution of finite observation sequences with a general dependence structure. This method allows us to prove that different…
Many techniques originally developed in the context of deterministic control theory have been recently applied to the quest for optimal protocols in stochastic processes. Given a system subject to environmental fluctuations, one may ask…
This paper studies the problem of enforcing safety of a stochastic dynamical system over a finite-time horizon. We use stochastic control barrier functions as a means to quantify the probability that a system exits a given safe region of…
Viewing stochastic processes through the lens of occupation measures has proved to be a powerful angle of attack for the theoretical and computational analysis of stochastic optimal control problems. We present a simple modification of the…