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Information theory has been very successful in obtaining performance limits for various problems such as communication, compression and hypothesis testing. Likewise, stochastic control theory provides a characterization of optimal policies…
We address the path-wise control of systems described by a set of nonlinear stochastic differential equations. For this class of systems, we introduce a notion of stochastic relative degree and a change of coordinates which transforms the…
Discrete-time stochastic systems with continuous spaces are hard to verify and control, even with MDP abstractions due to the curse of dimensionality. We propose an abstraction-based framework with robust dynamic programming mappings that…
In this paper, adaptive set-point regulation controllers for discrete-time nonlinear systems are constructed. The system to be controlled is assumed to have a parametric uncertainty, and an excitation signal is used in order to obtain the…
This paper considers a distributed stochastic optimization problem where the goal is to minimize the time average of a cost function subject to a set of constraints on the time averages of a related stochastic processes called penalties. We…
Probabilistic and stochastic behavior are omnipresent in computer controlled systems, in particular, so-called safety-critical hybrid systems, because of fundamental properties of nature, uncertain environments, or simplifications to…
Probabilistic programming is related to a compositional approach to stochastic modeling by switching from discrete to continuous time dynamics. In continuous time, an operator-algebra semantics is available in which processes proceeding in…
Most machine learning and deep neural network algorithms rely on certain iterative algorithms to optimise their utility/cost functions, e.g. Stochastic Gradient Descent. In distributed learning, the networked nodes have to work…
This paper is concerned with the problem of Model Predictive Control and Rolling Horizon Control of discrete-time systems subject to possibly unbounded random noise inputs, while satisfying hard bounds on the control inputs. We use a…
This paper proposes a framework for adaptively learning a feedback linearization-based tracking controller for an unknown system using discrete-time model-free policy-gradient parameter update rules. The primary advantage of the scheme over…
This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming. Unlike classical approximate dynamic programming approaches, we first approximate the optimal policy by means of…
This paper studies stochastic optimization problems and associated Bellman equations in formats that allow for reduced dimensionality of the cost-to-go functions. In particular, we study stochastic control problems in the…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
In this paper, we propose a stochastic scheduling strategy for estimating the states of N discrete-time linear time invariant (DTLTI) dynamic systems, where only one system can be observed by the sensor at each time instant due to practical…
This paper addresses the problem of learning the optimal control policy for a nonlinear stochastic dynamical system with continuous state space, continuous action space and unknown dynamics. This class of problems are typically addressed in…
In this paper, we present a robust distributed model predictive control (DMPC) scheme for dynamically decoupled nonlinear systems which are subject to state constraints, coupled state constraints and input constraints. In the proposed…
In this paper, we design dynamic probabilistic caching for the scenario when the instantaneous content popularity may vary with time while it is possible to predict the average content popularity over a time window. Based on the average…
We consider a multi-period stochastic control problem where the multivariate driving stochastic factor of the system has known marginal distributions but uncertain dependence structure. To solve the problem, we propose to implement the…
This paper deals with the stochastic control of nonlinear systems in the presence of state and control constraints, for uncertain discrete-time dynamics in finite dimensional spaces. In the deterministic case, the viability kernel is known…
We establish a collection of closed-loop guarantees and propose a scalable optimization algorithm for distributionally robust model predictive control (DRMPC) applied to linear systems, convex constraints, and quadratic costs. Via standard…