Related papers: Infinite Horizon Stochastic Impulse Control with D…
Jointly optimal transmission power control and remote estimation over an infinite horizon is studied. A sensor observes a dynamic process and sends its observations to a remote estimator over a wireless fading channel characterized by a…
An adaptive controller is proposed and analyzed for the class of infinite-horizon optimal control problems in positive linear systems presented in (Ohlin et al., 2024b). This controller is derived from the solution of a "data-driven…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
The application of existing methods for constructing optimal dynamic treatment regimes is limited to cases where investigators are interested in optimizing a utility function over a fixed period of time (finite horizon). In this manuscript,…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We examine the problem of two-point boundary optimal control of nonlinear systems over finite-horizon time periods with unknown model dynamics by employing reinforcement learning. We use techniques from singular perturbation theory to…
Continuing the first part of the paper, we consider scalar decentralized average-cost infinite-horizon LQG problems with two controllers. This paper focuses on the slow dynamics case when the eigenvalue of the system is small and prove that…
This note introduces a new analytic approach to the solution of a very general class of finite-horizon optimal control problems formulated for discrete-time systems. This approach provides a parametric expression for the optimal control…
Due to simplicity and strong stability guarantees, predictor feedback methods have stood as a popular approach for time delay systems since the 1950s. For time-varying delays, however, implementation requires computing a prediction horizon…
In this paper we study stochastic control problems with delayed information, that is, the control at time $t$ can depend only on the information observed before time $t-H$ for some delay parameter $H$. Such delay occurs frequently in…
This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms the…
The mathematical framework of hybrid system is a recent and general tool to treat control systems involving control action of heterogeneous nature. In this paper, we construct and test a semi-Lagrangian numerical scheme for solving the…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
Despite its popularity in the reinforcement learning community, a provably convergent policy gradient method for continuous space-time control problems with nonlinear state dynamics has been elusive. This paper proposes proximal gradient…
This note re-visits the rolling-horizon control approach to the problem of a Markov decision process (MDP) with infinite-horizon discounted expected reward criterion. Distinguished from the classical value-iteration approach, we develop an…
We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…
This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…
A method is devised for numerically solving a class of finite-horizon optimal control problems subject to cascade linear discrete-time dynamics. It is assumed that the linear state and input inequality constraints, and the quadratic measure…