Related papers: Optimal steering for non-Markovian Gaussian proces…
Output-Feedback Stochastic Model Predictive Control based on Stochastic Optimal Control for nonlinear systems is computationally intractable because of the need to solve a Finite Horizon Stochastic Optimal Control Problem. However, solving…
We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…
A method is presented to solve a stochastic, nonlinear optimal control problem representative of spacecraft trajectory design under uncertainty. The problem is reformulated as a chance constrained nonlinear program, or what is known as a…
The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
This paper addresses the optimal covariance steering problem for stochastic discrete-time linear systems subject to probabilistic state and control constraints. A method is presented for efficiently attaining the exact solution of the…
In this survey we present the near-optimal stochastic control problem according to some recent tools in the literature. In particular, we focus on the approach of a discretization of the noise values instead of the canonical…
We study Mean Field stochastic control problems where the cost function and the state dynamics depend upon the joint distribution of the controlled state and the control process. We prove suitable versions of the Pontryagin stochastic…
Stochastic thermodynamics lays down a broad framework to revisit the venerable concepts of heat, work and entropy production for individual stochastic trajectories of mesoscopic systems. Remarkably, this approach, relying on stochastic…
Devising optimal interventions for constraining stochastic systems is a challenging endeavour that has to confront the interplay between randomness and nonlinearity. Existing methods for identifying the necessary dynamical adjustments…
In this paper, we introduce a novel approach to solve the (mean-covariance) steering problem for a fairly general class of linear continuous-time stochastic systems subject to input delays. Specifically, we aim at steering delayed linear…
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…
In this article, we consider McKean stochastic differential equations, as well as their corresponding McKean-Vlasov partial differential equations, which admit a unique stationary state, and we study the linearized It\^o diffusion process…
In this paper we focus on a general type of mean-field stochastic control problem with partial observation, in which the coefficients depend in a non-linear way not only on the state process $X_t$ and its control $u_t$ but also on the…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov sub-diffusion $B_{L_t}$, which have the mixed features of deterministic and stochastic controls. Here $B_t$ is the standard Brownian…
In this article, we address the velocity tracking control problem for a class of stochastic non-Newtonian fluids. More precisely, we consider the stochastic third-grade fluid equation perturbed by infinite-dimensional additive white noise…
The developing field of stochastic thermodynamics extends concepts of macroscopic thermodynamics such as entropy production and work to the microscopic level of individual trajectories taken by a system through phase space. The scheme…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…