Related papers: Optimal Control for Discrete-time Markov Jump Line…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…
The optimal control input for linear systems can be solved from algebraic Riccati equation (ARE), from which it remains questionable to get the form of the exact solution. In engineering, the acceptable numerical solutions of ARE can be…
In this paper we introduce a new procedure to solve nonlinear optimal control problems with delays which exploits indirect methods combined with numerical homotopy procedures. It is known that solving this kind of problems via indirect…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
This work presents a novel algorithm for impulsive optimal control of linear time-varying systems with the inclusion of input magnitude constraints. Impulsive optimal control problems, where the optimal input solution is a sum of delta…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
This paper addresses the mean-square optimal control problem for \a class of discrete-time linear systems with a quasi-colored control-dependent multiplicative noise via output feedback. The noise under study is novel and shown to have…
This paper studies the time optimal control problem for systems of heat equations coupled by a pair of constant matrices. The control constraint is of the ball-type, while the target is the origin of the state space. We obtain an upper…
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…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
Real-world control applications often involve complex dynamics subject to abrupt changes or variations. Markov jump linear systems (MJS) provide a rich framework for modeling such dynamics. Despite an extensive history, theoretical…
The key challenges in design of predictor-based control laws for switched systems with arbitrary switching and long input delay are the potential unavailability of the future values of the switching signal (at current time) and the fact…
The minimum-time control problem consists in finding a control policy that will drive a given dynamic system from a given initial state to a given target state (or a set of states) as quickly as possible. This is a well-known challenging…
The aim of this paper is to study an optimal stopping problem for dynamic risk measures induced by backward stochastic differential equations with jumps and delayed generator. Firstly, we connect the value function of this problem to…
This paper is concerned with the decentralized stabilization problem for a class of uncertain large-scale systems with Markovian jump parameters. The controllers use local subsystem states and neighboring mode information to generate local…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…
Control loops closed over wireless links greatly benefit from accurate estimates of the communication channel condition. To this end, the finite-state Markov channel model allows for reliable channel state estimation. This paper develops a…
We study a class of systems whose parameters are driven by a Markov chain in reverse time. A recursive characterization for the second moment matrix, a spectral radius test for mean square stability and the formulas for optimal control are…