Related papers: Exit Time Risk-Sensitive Control for Systems of Co…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
In this paper we study a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero sum Stackelberg game between the principal and agent to a standard…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
This letter studies the problem of cooperative nearest-neighbor control of multi-agent systems where each agent can only realize a finite set of control points. Under the assumption that the underlying graph representing the communication…
We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study the regularity of the value function for such a control…
In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…
In this paper, we investigate a decentralized stochastic control problem with two agents, where a part of the memory of the second agent is also available to the first agent at each instance of time. We derive a structural form for optimal…
Stochastic Model Predictive Control addresses uncertainties by incorporating chance constraints that provide probabilistic guarantees of constraint satisfaction. However, simultaneously optimizing over the risk allocation and the feedback…
In this paper we present a Learning Model Predictive Control (LMPC) strategy for linear and nonlinear time optimal control problems. Our work builds on existing LMPC methodologies and it guarantees finite time convergence properties for the…
In this paper, we study the cooperative output regulation problem for the discrete linear time-delay multi-agent systems by distributed observer approach. In contrast with the same problem for continuous-time linear time-delay multi-agent…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
Optimal control of large particle systems with collective dynamics by few agents is a subject of high practical importance (e.g. in evacuation dynamics), but still limited mathematical basis. In particular the transition from discrete…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
We present a sequential distributed model predictive control (MPC) scheme for cooperative control of multi-agent systems with dynamically decoupled heterogeneous nonlinear agents subject to individual constraints. In the scheme, we explore…
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…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
In this paper, a method to synthesize controllers using finite time convergence control barrier functions guided by linear temporal logic specifications for continuous time multi-agent dynamical systems is proposed. Finite time convergence…
Controlling complex dynamical systems has been a topic of considerable interest in academic circles in recent decades. While existing works have primarily focused on closed-loop control schemes with infinite-time durations, this paper…
We investigate the interior turnpike phenomenon for discrete-time multi-agent optimal control problems. While for continuous systems the turnpike property has been established, we focus here on first-order discretizations of such systems.…