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We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
This paper presents novel controllers that yield finite-time stability for linear systems. We first present a sufficient condition for the origin of a scalar system to be finite-time stable. Then we present novel finite-time controllers…
Controlling systems of ordinary differential equations (ODEs) is ubiquitous in science and engineering. For finding an optimal feedback controller, the value function and associated fundamental equations such as the Bellman equation and the…
This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms the…
We consider an optimal control problem for infinite horizon systems governed by coupled forward-backward stochastic Volterra integral equations with delay. Using Hida-Malliavin calculus, we prove both sufficient and necessary maximum…
This article is a continuation of a previous work where we studied infinite horizon control problems for which the dynamic, running cost and control space may be different in two half-spaces of some euclidian space $\R^N$. In this article…
The aim of this work is to make a survey on recent sufficient optimality conditions for optimal control problems with time delays in both state and control variables. The results are obtained by transforming delayed optimal control problems…
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…
Data-driven control of discrete-time and continuous-time systems is of tremendous research interest. In this paper, we explore data-driven optimal control of continuous-time linear systems using input-output data. Based on a density result,…
This paper presents sufficient conditions for optimal control of systems with dynamics given by a linear operator, in order to obtain an explicit solution to the Bellman equation that can be calculated in a distributed fashion. Further, the…
We present a novel class of minimax optimal control problems with positive dynamics, linear objective function and homogeneous constraints. The proposed problem class can be analyzed with dynamic programming and an explicit solution to the…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
Problem of time-optimal control of linear systems with fractional dynamics is treated in the paper from the convex-analytic standpoint. A linear system of fractional differential equations involving Riemann--Liouville derivatives is…
We consider a class of exit--time control problems for nonlinear systems with a nonnegative vanishing Lagrangian. In general, the associated PDE may have multiple solutions, and known regularity and stability properties do not hold. In this…
Presented is an algorithm to synthesize an infinite-horizon LQR optimal feedback controller for continuous-time systems. The algorithm does not require knowledge of the system dynamics, but instead uses only a finite-length sampling of…
In this paper we study the conditioning of optimal control problems constrained by linear parabolic equations with Neumann boundary conditions. While we concentrate on a given end-time target function the results hold also when the target…
We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…