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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…
This paper presents a novel factor graph-based approach to solve the discrete-time finite-horizon Linear Quadratic Regulator problem subject to auxiliary linear equality constraints within and across time steps. We represent such optimal…
We consider the problem of stochastic optimal control in the presence of an unknown disturbance. We characterize the disturbance via empirical characteristic functions, and employ a chance constrained approach. By exploiting properties of…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
This paper extends the domination-monotonicity conditions, which guarantee the well-posedness of extended mean-filed forward-backward stochastic differential equations (extended MF-FBSDEs), from the previously studied linear framework to a…
In this paper, we solve a maximization problem where the objective function is quadratic and convex or concave and the constraints set is the reachable value set of a convergent discrete-time affine system. Moreover, we assume that the…
We present the observation that the process of stochastic model predictive control can be formulated in the framework of iterated function systems. The latter has a rich ergodic theory that can be applied to study the system's long-run…
We study a signature-driven numerical scheme to solve multi-dimensional linear-quadratic (LQ) stochastic control problems. Using that linear signature functionals are dense in the natural class of admissible controls, we show that our…
The paper deals with the determination of integral functional quality for control system of generalized linear dynamic object with exponential activation function by solving the inverse problem of dynamic programming. The obtained…
Extended formulations are an important tool in polyhedral combinatorics. Many combinatorial optimization problems require an exponential number of inequalities when modeled as a linear program in the natural space of variables. However, by…
We provide a necessary and sufficient condition for a rough control driving a differential equation to be reconstructable, to some order, from observing the resulting controlled evolution. Physical examples and applications in stochastic…
A sequential quadratic optimization algorithm for minimizing an objective function defined by an expectation subject to nonlinear inequality and equality constraints is proposed, analyzed, and tested. The context of interest is when it is…
Chance-constrained programs (CCPs) constitute a difficult class of stochastic programs due to its possible nondifferentiability and nonconvexity even with simple linear random functionals. Existing approaches for solving the CCPs mainly…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we…
In this paper, we present an overview of the recent developments of functional quantization of stochastic processes, with an emphasis on the quadratic case. Functional quantization is a way to approximate a process, viewed as a…
By parametrizing input and state trajectories with basis functions different approximations to the constrained linear quadratic regulator problem are obtained. These notes present and discuss technical results that are intended to…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…
A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…