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This article proposes an improved trajectory optimization approach for stochastic optimal control of dynamical systems affected by measurement noise by combining optimal control with maximum likelihood techniques to improve the reduction of…
The estimation of the covariance structure from a discretely observed multivariate Gaussian process under asynchronicity and noise is analysed under high-frequency asymptotics. Asymptotic lower and upper bounds are established for a general…
One of the fundamental assumptions in stochastic control of continuous time processes is that the dynamics of the underlying (diffusion) process is known. This is, however, usually obviously not fulfilled in practice. On the other hand,…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
The goal of this paper is to address finite-horizon minimum variance and covariance steering problems for discrete-time stochastic (Gaussian) linear systems. On the one hand, the minimum variance problem seeks for a control policy that will…
With the increasing penetration of high-frequency sensors across a number of biological and physical systems, the abundance of the resulting observations offers opportunities for higher statistical accuracy of down-stream estimates, but…
Stochastic optimisation algorithms are the de facto standard for machine learning with large amounts of data. Handling only a subset of available data in each optimisation step dramatically reduces the per-iteration computational costs,…
This paper considers the problem of determining an optimal control action based on observed data. We formulate the problem assuming that the system can be modelled by a nonlinear state-space model, but where the model parameters, state and…
We consider the problem of minimizing a convex function that is evolving according to unknown and possibly stochastic dynamics, which may depend jointly on time and on the decision variable itself. Such problems abound in the machine…
Recently, literature on dynamic coherent risk measures has broadened the choices for risk-sensitive performance evaluation. A running example includes Cumulative prospect theory and Conditional variance at risk. Most of them can be can be…
This paper investigates the fundamental information-theoretic limits for the control and sensing of noiseless linear dynamical systems subject to a broad class of nonlinear observations. We analyze the interactions between the control and…
Control of continuous time dynamics with multiplicative noise is a classic topic in stochastic optimal control. This work addresses the problem of designing infinite horizon optimal controls with stability guarantees for \textit{a single…
We introduce a novel, practically relevant variation of the anomaly detection problem in multi-variate time series: intrinsic anomaly detection. It appears in diverse practical scenarios ranging from DevOps to IoT, where we want to…
We consider a slow passage through a point of loss of stability. If the passage is sufficiently slow, the dynamics are controlled by additive random disturbances, even if they are extremely small. We derive expressions for the `exit value'…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
Optimal control problems with oscillations (chattering controls) and concentrations (impulsive controls) can have integral performance criteria such that concentration of the control signal occurs at a discontinuity of the state signal.…
The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…