Related papers: Numerics for Stochastic Distributed Parameter Cont…
Finite element methods for a model elliptic distributed optimal control problem with pointwise state constraints are considered from the perspective of fourth order boundary value problems.
This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…
This paper presents a Newton-based stochastic extremum-seeking control method for real-time optimization in multi-input systems with distinct input delays. It combines predictor-based feedback and Hessian inverse estimation via stochastic…
In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…
This paper develops a variational inference framework for control of infinite dimensional stochastic systems. We employ a measure theoretic approach which relies on the generalization of Girsanov's theorem, as well as the relation between…
Finite-dimensional dissipative dynamical systems with multiple time-scales are obtained when modeling chemical reaction kinetics with ordinary differential equations. Such stiff systems are computationally hard to solve and therefore,…
In this paper, we investigate the asymptotic error distributions of symplectic methods for stochastic Hamiltonian systems and further provide Hamiltonian-specific analysis that clarifies the superiority of symplectic methods. Our…
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…
We consider the control of semilinear stochastic partial differential equations (SPDEs) via deterministic controls. In the case of multiplicative noise, existence of optimal controls and necessary conditions for optimality are derived. In…
A novel approach to design the feedback control based on past states is proposed for hybrid stochastic differential equations (HSDEs). This new theorem builds up the connection between the delay feedback control and the control function…
This paper considers the relaxed version of the transport problem for general nonlinear control systems, where the objective is to design time-varying feedback laws that transport a given initial probability measure to a target probability…
We propose a spectral collocation method to approximate the exact boundary control of the wave equation in a square domain. The idea is to introduce a suitable approximate control problem that we solve in the finite-dimensional space of…
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…
The numerical analysis of a family of distributed mixed optimal control problems governed by elliptic variational inequalities (with parameter $\alpha >0$) is obtained through the finite element method when its parameter $h\rightarrow 0$.…
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 consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum-valued control. We construct a lower complexity…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
In this paper we investigate infinite horizon optimal control problems for parametrized partial differential equations. We are interested in feedback control via dynamic programming equations which is well-known to suffer from the curse of…
Inverse problems involving systems of partial differential equations (PDEs) with many measurements or experiments can be very expensive to solve numerically. In a recent paper we examined dimensionality reduction methods, both stochastic…