Related papers: Optimal Control Problem for Discrete-Time Systems …
In this paper, we study the covariance steering (CS) problem for discrete-time linear systems subject to multiplicative and additive noise. Specifically, we consider two variants of the so-called CS problem. The goal of the first problem,…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
The main goal of this paper is developing the method of discrete approximations to derive necessary optimality conditions for a class of constrained sweeping processes with nonsmooth perturbations. Optimal control problems for sweeping…
We formulate the stochastic dynamics of a particle subject to internal non-white (coloured) noise in terms of path-integrals. In the simplest case, where the noise is exponentially correlated, the weak-noise limit is characterised by…
This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for…
We consider a stochastic optimal control problem for an heat equation with boundary noise and boundary controls. Under suitable assumptions on the coefficients, we prove existence of optimal controls in strong sense by solving the…
We study local controllability and optimal control problems for invertible discrete-time control systems. We present second order necessary conditions for optimality and sufficient conditions for local controllability. The conditions are…
The objectives and contributions of this paper are mathematical and numerical analyses of a stochastic control problem of bounded population dynamics under ambiguity, an important but not well-studied problem, focusing on the optimality…
Noisy dynamical models are employed to describe a wide range of phenomena. Since exact modeling of these phenomena requires access to their microscopic dynamics, whose time scales are typically much shorter than the observable time scales,…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
We investigate a control process described by a linear system of ordinary differential equations with a noise of special type acting to the control parameter. As the cost functional the probability of the final state vector to enter to a…
We consider the variational discretization of a linear-quadratic optimal control problem with pointwise control and state constraints. In order to allow for a Fr\'echet smooth norm, the problem is reformulated by means of a reflexive…
This paper concerns the numerical procedure for solving hybrid optimal control problems with sliding modes. A sliding mode is coped with differential-algebraic equations (DAEs) and that guarantees accurate tracking of the sliding motion…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
This paper focuses on the linear quadratic control (LQC) design of systems corrupted by both stochastic noise and bounded noise simultaneously. When only of these noises are considered, the LQC strategy leads to stochastic or robust…
Solutions to optimal control problems can be discontinuous, even if all the functionals defining the problem are smooth. This can cause difficulties when numerically computing solutions to these problems. While conventional numerical…
We study how to safely control nonlinear control-affine systems that are corrupted with bounded non-stochastic noise, i.e., noise that is unknown a priori and that is not necessarily governed by a stochastic model. We focus on safety…
We establish a Pontryagin maximum principle for discrete time optimal control problems under the following three types of constraints: a) constraints on the states pointwise in time, b) constraints on the control actions pointwise in time,…