Related papers: On the policy improvement algorithm for ergodic ri…
In this paper, we consider the optimal control problem in a 3D flow model for incompressible rigid-viscoplastic media of the Bingham kind with homogeneous Dirichlet boundary conditions and a given cost functional. On the basis of methods of…
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
This work addresses the problem of risk-sensitive control for nonlinear systems with imperfect state observations, extending results for the linear case. In particular, we derive an algorithm that can compute local solutions with…
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…
This paper proposes a supervised training algorithm for learning stochastic resource allocation policies with generative diffusion models (GDMs). We formulate the allocation problem as the maximization of an ergodic utility function subject…
In this paper we consider ergodic optimal control of a diffusion process $\{X^u_t\}_{t \geq 0}$, taking values in $\bR^n$, where both drift and volatility are controlled. We establish a novel strong duality between the existence of a unique…
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 study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
Part I of this work [2] developed the exact diffusion algorithm to remove the bias that is characteristic of distributed solutions for deterministic optimization problems. The algorithm was shown to be applicable to a larger set of…
This paper deals with some control problems related to structured population dynamics with diffusion. Firstly, we investigate the regional control for an optimal harvesting problem (the control acts in a subregion $\omega$ of the whole…
Nonlinear control systems with partial information to the decision maker are prevalent in a variety of applications. As a step toward studying such nonlinear systems, this work explores reinforcement learning methods for finding the optimal…
This paper revisits and extends the convergence and robustness properties of value and policy iteration algorithms for discrete-time linear quadratic regulator problems. In the model-based case, we extend current results concerning the…
This paper extends algorithms that remove the fixed point bias of decentralized gradient descent to solve the more general problem of distributed optimization over subspace constraints. Leveraging the integral quadratic constraint…
This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due to lack of regularity, we consider a semi-discrete scheme by…
This paper addresses the problem of optimal control of robotic sensing systems aimed at autonomous information gathering in scenarios such as environmental monitoring, search and rescue, and surveillance and reconnaissance. The information…
This paper addresses the problem of steering the distribution of the state of a discrete-time linear system to a given target distribution while minimizing an entropy-regularized cost functional. This problem is called a maximum entropy…
In this paper, we consider robust control using randomized algorithms. We extend the existing order statistics distribution theory to the general case in which the distribution of population is not assumed to be continuous and the order…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
We study optimal control of diffusions with slow and fast variables and address a question raised by practitioners: is it possible to first eliminate the fast variables before solving the optimal control problem and then use the optimal…