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Prior work on automatic control synthesis for cyber-physical systems under logical constraints has primarily focused on environmental disturbances or modeling uncertainties, however, the impact of deliberate and malicious attacks has been…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
In this note, we consider the existence and uniqueness of the solution of a time-dependent optimal control problem constrained by a partial differential equation with uncertain inputs. Relying on the Lions' Lemma for deterministic problems,…
Infinite horizon open loop optimal control problems for semilinear parabolic equations are investigated. The controls are subject to a cost-functional which promotes sparsity in time. The focus is put on deriving first order optimality…
This paper addresses the problem of robust control of a linear discrete-time system subject to bounded disturbances and to measurement and control budget constraints. Using Q-parameterization and a polytope containment method, we prove that…
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our…
Dual control denotes a class of control problems where the parameters governing the system are imperfectly known. The challenge is to find the optimal balance between probing, i.e. exciting the system to understand it more, and caution,…
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…
We consider the Chance Constrained Model Predictive Control problem for polynomial systems subject to disturbances. In this problem, we aim at finding optimal control input for given disturbed dynamical system to minimize a given cost…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrowing constraints. Examples include problems with multiple…
This paper studies optimal control problems of unknown linear systems subject to stochastic disturbances of uncertain distribution. Uncertainty about the stochastic disturbances is usually described via ambiguity sets of probability…
This paper studies the properties of discrete time stochastic optimal control problems associated with portfolio selection. We investigate if optimal continuous time strategies can be used effectively for a discrete time market after a…
In this paper we consider the problem of minimizing a quadratic functional for a discrete-time linear stochastic system with multiplicative noise, on a standard probability space, in infinite time horizon. We show that the necessary and…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
Finite-time linear-quadratic control of partial differential-algebraic equations (PDAEs) is considered. The discussion is restricted to those that are radial with index $0$; this corresponds to a nilpotency degree of 1. We establish the…
An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^\infty$-term. In addition to the classical…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
An optimal control problem for the continuity equation is considered. The aim of a controller is to maximize the total mass within a target set at a given type moment. An iterative numerical algorithm for solving this problem is presented.
We consider a discrete-time linear-quadratic Gaussian control problem in which we minimize a weighted sum of the directed information from the state of the system to the control input and the control cost. The optimal control and sensing…