Related papers: Efficient Riccati recursion for optimal control pr…
This paper studies finite-horizon stochastic linear-quadratic optimal control problems with random coefficients and Poisson jumps, where the weighting matrices may be random and indefinite. Under a uniform convexity condition on the cost…
A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…
Standard formulations of prescribed worst-case disturbance energy-gain control policies for linear time-varying systems depend on all forward model data. In discrete time, this dependence arises through a backward Riccati recursion. This…
We consider linear model reduction in both the control and state variables for unconstrained linear-quadratic optimal control problems subject to time-varying parabolic PDEs. The first-order optimality condition for a state-space reduced…
We present an Alternating Direction Method of Multipliers (ADMM) algorithm for solving optimization problems with an l_1 regularized least-squares cost function subject to recursive equality constraints. The considered optimization problem…
Algebraic Riccati equations are encountered in many applications of control and engineering problems, e.g., LQG problems and $H^\infty$ control theory. In this work, we study the properties of one type of discrete-time algebraic Riccati…
The optimal control input for linear systems can be solved from algebraic Riccati equation (ARE), from which it remains questionable to get the form of the exact solution. In engineering, the acceptable numerical solutions of ARE can be…
We propose a novel reformulation of the stochastic optimal control problem as an approximate inference problem, demonstrating, that such a interpretation leads to new practical methods for the original problem. In particular we characterise…
In this article we study the optimal control problem with quadratic functionals for a linear Volterra integro-differential equation in Hilbert spaces. With the finite history seen as an (additional) initial datum for the evolution,…
Convex relaxation methods have been studied and used extensively to obtain an optimal solution to the optimal power flow (OPF) problem. Meanwhile, convex relaxed power flow equations are also prerequisites for efficiently solving a wide…
Inverse optimal control (IOC) is a promising paradigm for learning and mimicking optimal control strategies from capable demonstrators, or gaining a deeper understanding of their intentions, by estimating an unknown objective function from…
We introduce an alternative approach for the analysis and numerical approximation of the optimal feedback control mapping. It consists in looking at a typical optimal control problem in such a way that feasible controls are mappings…
In this paper we propose a new finite element method for solving elliptic optimal control problems with pointwise state constraints, including the distributed controls and the Dirichlet or Neumann boundary controls. The main idea is to use…
Inverse optimal control (IOC) allows the retrieval of optimal cost function weights, or behavioral parameters, from human motion. The literature on IOC uses methods that are either based on a slow bilevel process or a fast but…
We consider an optimal control problem governed by an elliptic variational inequality of the second kind. The problem is discretized by linear finite elements for the state and a variational discrete approach for the control. Based on a…
In the past couple of decades, non-quadratic convex penalties have reshaped signal processing and machine learning; in robust control, however, general convex costs break the Riccati and storage function structure that make the design…
Optimal control problems of tracking type for a class of linear systems with uncertain parameters in the dynamics are investigated. An affine tracking feedback control input is obtained by considering the minimization of an energy-like…
Moment optimization techniques have been recently proposed to solve globally various classes of optimal control problems. As those methods return truncated moment sequences of occupation measures, this paper explores a numeric method for…
Within this chapter, we discuss control in the coefficients of an obstacle problem. Utilizing tools from H-convergence, we show existence of optimal solutions. First order necessary optimality conditions are obtained after deriving…
We investigate the discrete-time stochastic linear quadratic control problem for a population of cooperative agents under the hard equality constraint on total control inputs, motivated by demand response in renewable energy systems. We…