Related papers: $H_{\infty}$ Optimal Control of Jump Systems Over …
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity…
Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…
This paper investigates the infinite horizon optimal control problem (OCP) for space applications characterized by nonlinear dynamics. The proposed approach divides the problem into a finite horizon OCP with a regularized terminal cost,…
We present a suboptimal control design algorithm for a family of continuous-time parameter-dependent linear systems that are composed of interconnected subsystems. We are interested in designing the controller for each subsystem such that…
This paper addresses the problem of designing recommendation systems for social networks and e-commerce platforms from a control-theoretic perspective. We treat the design of recommendation systems as a state-feedback infinite-horizon…
This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…
This paper mainly establishes the finite-horizon stochastic bounded real lemma, and then solves the $H_{\infty}$ control problem for discrete-time stochastic linear systems defined on the separable Hilbert spaces, thereby unifying the…
In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…
We investigate an optimal control problem for a diffusion whose drift and running cost are merely measurable in the state variable. Such low regularity rules out the use of Pontryagin's maximum principle and also invalidates the standard…
We develop an optimization-based framework for joint real-time trajectory planning and feedback control of feedback-linearizable systems. To achieve this goal, we define a target trajectory as the optimal solution of a time-varying…
We consider the problem of designing a feedback controller for a multivariable linear time-invariant system which regulates an arbitrary system output to the solution of an equality-constrained convex optimization problem despite unknown…
This paper presents a novel robust variable-horizon model predictive control scheme designed to intercept a target moving along a known trajectory, in finite time. Linear discrete-time systems affected by bounded process disturbances are…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
In this paper LQG control over unreliable communication links is derived. That is to say, the communication channels between the controller and the actuators and between the sensors and the controller are unreliable. Previous solutions to…
We consider the $\mathbb{H}_2$-optimal feedback control problem, for the case in which the plant is passive with bounded $\mathbb{L}_2$ gain, and the feedback law is constrained to be output-strictly passive. In this circumstance, we show…
We consider event-triggered linear-quadratic Gaussian (LQG) control when sensor updates are transmitted over an i.i.d. packet-erasure channel. Although the optimal controller in a standard LQG setup is available in closed form, choosing…
In this paper, we consider the problem of controlling a diffusion process pertaining to an opioid epidemic dynamical model with random perturbation so as to prevent it from leaving a given bounded open domain. Here, we assume that the…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…