Related papers: Infinite Horizon Stochastic Impulse Control with D…
We propose a Model Predictive Control (MPC) with a single-step prediction horizon to approximate the solution of infinite horizon optimal control problems with the expected sum of convex stage costs for constrained linear uncertain systems.…
This paper is concerned with a finite-horizon inverse control problem, which has the goal of reconstructing, from observations, the possibly non-convex and non-stationary cost driving the actions of an agent. In this context, we present a…
Discrete-time stochastic systems are an essential modelling tool for many engineering systems. We consider stochastic control systems that are evolving over continuous spaces. For this class of models, methods for the formal verification…
We consider the problem of controlling an unknown linear dynamical system in the presence of (nonstochastic) adversarial perturbations and adversarial convex loss functions. In contrast to classical control, the a priori determination of an…
This work considers infinite-horizon optimal control of positive linear systems applied to the case of network routing problems. We demonstrate the equivalence between Stochastic Shortest Path (SSP) problems and optimal control of a certain…
This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
The randomized unbiased estimators of Rhee and Glynn (Operations Research:63(5), 1026-1043, 2015) can be highly efficient at approximating expectations of path functionals associated with stochastic differential equations (SDEs). However,…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
In the last decades, control problems with infinite horizons and discount factors have become increasingly central not only for economics but also for applications in artificial intelligence and machine learning. The strong links between…
This paper considers receding horizon control of finite deterministic systems, which must satisfy a high level, rich specification expressed as a linear temporal logic formula. Under the assumption that time-varying rewards are associated…
Consider the classic infinite-horizon problem of stopping a one-dimensional diffusion to optimise between running and terminal rewards and suppose we are given a parametrised family of such problems. We provide a general theory of parameter…
We introduce discontinuous solutions to nonlinear impulsive control systems with state time delays in the dynamics and derive necessary optimality conditions in the form of a Maximum Principle for associated optimal control problems. In the…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
In many applications of optimal control, the stage cost is not fixed, but rather a design choice with considerable impact on the control performance. In infinite horizon optimal control, the choice of stage cost is often restricted by the…
In this work, solution of the finite horizon hybrid optimal control problem as the central element of the receding horizon optimal control (model predictive control) is investigated based on the indirect approach. The response of a hybrid…
This paper investigates the existence of a G-relaxed optimal control of a controlled stochastic differential delay equation driven by G-Brownian motion (G-SDDE in short). First, we show that optimal control of G-SDDE exists for the finite…
The semilinear beam equation with impulses, memory and delay is considered. We obtain the approximate controllability. This is done by employing a technique that avoids fixed point theorems and pulling back the control solution to a fixed…
This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem regulated by a time-invariant Markov chain in infinite horizon. Under the $L^2$-stability framework, we study a class of linear backward stochastic…
The solution of a constrained linear-quadratic regulator problem is determined by the set of its optimal active sets. We propose an algorithm that constructs this set of active sets for a desired horizon N from that for horizon N-1. While…