Related papers: New Approach to General Nonlinear Discrete-Time St…
We consider the problem of designing a feedback controller for a multivariable linear time-invariant system which regulates an arbitrary system output to the solution of an equality-constrained convex optimization problem despite unknown…
We introduce some approximation schemes for linear and fully non-linear diffusion equations of Bellman-Isaacs type. Although they are not monotone one can prove their convergence to the viscosity solution of the problem. Effective…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
In this paper we present a direct adaptive control method for a class of uncertain nonlinear systems with a time-varying structure. We view the nonlinear systems as composed of a finite number of ``pieces,'' which are interpolated by…
We consider the problem of adaptive stabilization for discrete-time, multi-dimensional linear systems with bounded control input constraints and unbounded stochastic disturbances, where the parameters of the true system are unknown. To…
This paper presents a computationally efficient robust model predictive control law for discrete linear time invariant systems subject to additive disturbances that may depend on the state and/or input norms. Despite the dependency being…
Following the recently developed algorithms for fully probabilistic control design for general dynamic stochastic systems [15], [18], this paper presents the solution to the probabilistic dual heuristic programming (DHP) adaptive critic…
In this paper, we propose a new approach to design globally convergent reduced-order observers for nonlinear control systems via contraction analysis and convex optimization. Despite the fact that contraction is a concept naturally suitable…
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…
We study how to safely control nonlinear control-affine systems that are corrupted with bounded non-stochastic noise, i.e., noise that is unknown a priori and that is not necessarily governed by a stochastic model. We focus on safety…
We consider the problem of steering, via output feedback, the state distribution of a discrete-time, linear stochastic system from an initial Gaussian distribution to a terminal Gaussian distribution with prescribed mean and maximum…
We here consider optimal control problems governed by nonlinear stochastic equations on a Hilbert space H with nonconvex payoff, which is rewritten as a deterministic optimal control problem governed by a Kolmogorov equation in H. We prove…
In this paper, motivated by a problem in stochastic impulse control theory, we aim to study solutions to a free boundary problem of obstacle-type. We obtain sharp estimates for the solution using nonlinear tools which are independent of 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,…
We consider a nonlinear discrete stochastic control system, and our goal is to design a feedback control policy in order to lead the system to a prespecified state. We adopt a stochastic approximation viewpoint of this problem. It is known…
Randomized optimization is an established tool for control design with modulated robustness. While for uncertain convex programs there exist randomized approaches with efficient sampling, this is not the case for non-convex problems.…
We present a heuristic policy and performance bound for risk-sensitive convex stochastic control that generalizes linear-exponential-quadratic regulator (LEQR) theory. Our heuristic policy extends standard, risk-neutral model predictive…
This letter presents a framework for synthesizing a robust full-state feedback controller for systems with unknown nonlinearities. Our approach characterizes input-output behavior of the nonlinearities in terms of local norm bounds using…
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…
For networks of systems, with possibly improper transfer function matrices, we present a design framework which enables $\mathcal{H}_\infty$ control, while imposing sparsity constraints on the controller's coprime factors. We propose a…