Related papers: Optimal Control Problem for Discrete-Time Systems …
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…
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss). Two types of FBS{\Delta}Ss are investigated. The first one is described by a partially…
We present a deep recurrent neural network architecture to solve a class of stochastic optimal control problems described by fully nonlinear Hamilton Jacobi Bellmanpartial differential equations. Such PDEs arise when one considers…
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various applications, especially in the financial risk…
In this article, we investigate the problem of simultaneously steering an uncountable family of finite dimensional time-varying linear systems. We call this class of control problems Ensemble Control, a notion coming from the study of spin…
A parametric constrained convex optimal control problem, where the initial state is perturbed and the linear state equation contains a noise, is considered in this paper. Formulas for computing the subdifferential and the singular…
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in…
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 consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain the state feedback representation of the optimal control, we…
The optimal stochastic control problem with a quadratic cost functional for linear partial differential equations (PDEs) driven by a state-and control-dependent white noise is formulated and studied. Both finite-and infinite-time horizons…
In this work, we will investigate the question of optimal control for bilinear systems with constrained endpoint. The optimal control will be characterized through a set of unconstrained minimization problems that approximate the former.…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
In this paper, we propose a new methodology for state constrained stochastic optimal control (SOC) problems. The solution is based on past work in solving SOC problems using forward-backward stochastic differential equations (FBSDE). Our…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
We consider a general stochastic differential delay equation (SDDE) with state-dependent colored noises and derive its limit as the time delays and the correlation times of the noises go to zero. The work is motivated by an experiment…
Optimal control of bilinear systems has been a well-studied subject in the areas of mathematical and computational optimal control. However, effective methods for solving emerging optimal control problems involving an ensemble of…
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…