Related papers: The Switch Point Algorithm
Decentralized optimization methods have been in the focus of optimization community due to their scalability, increasing popularity of parallel algorithms and many applications. In this work, we study saddle point problems of sum type,…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…
We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different…
Peak estimation bounds extreme values of a function of state along trajectories of a dynamical system. This paper focuses on extending peak estimation to continuous and discrete settings with time-independent and time-dependent uncertainty.…
In this paper, we present some properties of time optimal controls for linear ODEs with the ball-type control constraint. More precisely, for an optimal control, we build up an upper bound for the number of its switching points; show that…
Most modern control systems are switched, meaning they have continuous as well as discrete decision variables. Switched systems often have constraints called dwell-time constraints (e.g., cycling constraints in a heat pump) on the switching…
In this contribution, we introduce an efficient method for solving the optimal control problem for an unconstrained nonlinear switched system with an arbitrary cost function. We assume that the sequence of the switching modes are given but…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
The detection of change points is a pivotal task in statistical analysis. In the quantum realm, it is a new primitive where one aims at identifying the point where a source that supposedly prepares a sequence of particles in identical…
One of the main aspects of switched affine systems that makes their stabilizability study intricate is the existence of (generally) infinitely many equilibrium points in the state space. Thus, prior to designing the switched control, the…
This paper considers a sequence of random variables generated according to a common distribution. The distribution might undergo periods of transient changes at an unknown set of time instants, referred to as change-points. The objective is…
We propose a neural network approach to model general interaction dynamics and an adjoint based stochastic gradient descent algorithm to calibrate its parameters. The parameter calibration problem is considered as optimal control problem…
We consider an optimal switching problem where the terminal reward depends on the entire control trajectory. We show existence of an optimal control by applying a probabilistic technique based on the concept of Snell envelopes. We then…
This paper proposes an iterative method to solve Mixed-Integer Optimal Control Problems arising from systems with switched dynamics. The so-called relaxed problem plays a central role within this context. Through a numerical example, it is…
We consider optimal control of the scalar wave equation where the control enters as a coefficient in the principal part. Adding a total variation penalty allows showing existence of optimal controls, which requires continuity results for…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
Change-point analysis is a flexible and computationally tractable tool for the analysis of times series data from systems that transition between discrete states and whose observables are corrupted by noise. The change-point algorithm is…