Related papers: Stochastic Control with Delayed Information and Re…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…
This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control…
We consider the problem of optimal control of a mean-field stochastic differential equation under model uncertainty. The model uncertainty is represented by ambiguity about the law $\mathcal{L}(X(t))$ of the state $X(t)$ at time $t$. For…
This paper investigates the problem of distributed nonblocking supervisory control for timed discrete-event systems (DESs). The distributed supervisors communicate with each other over networks subject to nondeterministic communication…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
In this paper, we introduce a novel approach to solve the (mean-covariance) steering problem for a fairly general class of linear continuous-time stochastic systems subject to input delays. Specifically, we aim at steering delayed linear…
We present a theory of optimal control for McKean-Vlasov stochastic differential equations with infinite time horizon and discounted gain functional. We first establish the well-posedness of the state equation and of the associated control…
We study optimal proportional feedback controllers for spatially invariant systems when the controller has access to delayed state measurements received from different spatial locations. We analyze how delays affect the spatial locality of…
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…
The master equation is a type of PDE whose state variable involves the distribution of certain underlying state process. It is a powerful tool for studying the limit behavior of large interacting systems, including mean field games and…
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…
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 paper proposes a supervisory control structure for networked systems with time-varying delays. The control structure, in which a supervisor triggers the most appropriate controller from a multi-controller unit, aims at improving the…
This paper considers a non-Markov control problem arising in a financial market where asset returns depend on hidden factors. The problem is non-Markov because nonlinear filtering is required to make inference on these factors, and hence…
This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…
We present a stochastic predictive controller for discrete time linear time invariant systems under incomplete state information. Our approach is based on a suitable choice of control policies, stability constraints, and employment of a…
This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms the…
In this paper, we generalise Pontryagin's stochastic maximum principle to controlled McKean-Vlasov equations with anticipating law. The associated new type of delayed backward equations with implicit terminal condition is studied.