Related papers: Linear programming approach to optimal impulse con…
In this article, we consider the deterministic impulsively controlled system with infinite horizon and several discounted objective functionals. The constructed optimal control problem with functional constraints is reformulated as a Markov…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…
Using the tools of the Markov Decision Processes, we justify the dynamic programming approach to the optimal impulse control of deterministic dynamical systems. We prove the equivalence of the integral and differential forms of the…
This work presents a novel algorithm for impulsive optimal control of linear time-varying systems with the inclusion of input magnitude constraints. Impulsive optimal control problems, where the optimal input solution is a sum of delta…
We establish a linear programming formulation for the solution of joint chance constrained optimal control problems over finite time horizons. The joint chance constraint may represent an invariance, reachability or reach-avoid…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
We consider the constrained optimal control problem for the gradual-impulsive CTMDP model with the performance criteria being the expected total undiscounted costs (from the running cost and the cost from each time an impulse being…
Conditions are established under which the optimal control of processes having both absolutely continuous and singular (with respect to time) controls are equivalent to linear programs over a space of measures on the state and control…
For a constrained optimal impulse control problem of an abstract dynamical system, we introduce the occupation measures along with aggregated occupation measures and present two associated linear programs. We prove that the two linear…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
The linear programming (LP) approach is, together with value iteration and policy iteration, one of the three fundamental methods to solve optimal control problems in a dynamic programming setting. Despite its simple formulation,…
This paper studies constrained optimal impulse control problems of a deterministic system described by a (semi)flow, where the performance measures are the discounted total costs including both the costs incurred with applying impulses as…
The problem of resource allocation of nonlinear networked control systems is investigated, where, unlike the well discussed case of triggering for stability, the objective is optimal triggering. An approximate dynamic programming approach…
We introduce and study the infinite dimensional linear programming problem which along with its dual allows one to characterize the optimal value of the deterministic long-run average optimal control problem in the general case when the…
We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times are shown to be of threshold type and the optimal threshold is…
Approximate dynamic programming has been investigated and used as a method to approximately solve optimal regulation problems. However, the extension of this technique to optimal tracking problems for continuous time nonlinear systems has…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
We consider the problem of tracking a target whose dynamics is modeled by a continuous It\=o semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds…
This paper deals with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of epsilon-optimal strategies. The construction of such strategies is explicit and only…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…