Related papers: Stochastic Control with Delayed Information and Re…
Time delay in general leads to instability in some systems, while a specific feedback with delay can control fluctuated motion in nonlinear deterministic systems to a stable state. In this paper, we consider a non-stationary stochastic…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. Stochastic optimal control problems driven by fractional…
In this paper, we investigate discrete-time decision-making problems in uncertain systems with partially observed states. We consider a non-stochastic model, where uncontrolled disturbances acting on the system take values in bounded sets…
Stochastic processes with temporal delay play an important role in science and engineering whenever finite speeds of signal transmission and processing occur. However, an exact mathematical analysis of their dynamics and thermodynamics is…
This paper deals with a family of stochastic control problems in Hilbert spaces which arises in typical applications (such as boundary control and control of delay equations with delay in the control) and for which is difficult to apply the…
In this tutorial paper, a comprehensive survey is given on several major systematic approaches in dealing with delay-aware control problems, namely the equivalent rate constraint approach, the Lyapunov stability drift approach and the…
We consider optimal control of decentralized LQG problems for plants controlled by two players having asymmetric information sharing patterns between them. In one scenario, players are assumed to have a bidirectional error-free, unlimited…
We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
Conditional McKean-Vlasov control problems involve controlling McKean-Vlasov diffusions where the interaction occurs through the law of the state process conditionally on it staying in a domain. Introduced by Lions in his 2016 lectures at…
We extend the classical setting of an optimal stopping problem under full information to include for problems with an unknown state. The framework allows the unknown state to influence (i) the drift of the underlying process, (ii) the…
We study the stability of unstable steady states in scalar retarded time-delayed systems subjected to a variable-delay feedback control. The important aspect of such a control problem is that time-delayed systems are already…
We analyze the convergence of gradient-based optimization algorithms that base their updates on delayed stochastic gradient information. The main application of our results is to the development of gradient-based distributed optimization…
In this paper we are introducing a new reinforcement learning method for control problems in environments with delayed feedback. Specifically, our method employs stochastic planning, versus previous methods that used deterministic planning.…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
The solution to a stochastic optimal control problem can be determined by computing the value function from a discretization of the associated Hamilton-Jacobi-Bellman equation. Alternatively, the problem can be reformulated in terms of a…
We investigate the transient times for the onset of control of steady states by time-delayed feedback. The optimization of control by minimising the transient time before control becomes effective is discussed analytically and numerically,…