Related papers: HJB Based Optimal Safe Control Using Control Barri…
This study investigates an optimal investment problem for an insurance company operating under the Cramer-Lundberg risk model, where investments are made in both a risky asset and a risk-free asset. In contrast to other literature that…
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…
Motivated by the lack of systematic tools to obtain safe control laws for hybrid systems, we propose an optimization-based framework for learning certifiably safe control laws from data. In particular, we assume a setting in which the…
We present a new formulation for the computation of solutions of a class of Hamilton Jacobi Bellman (HJB) equations on closed smooth surfaces of co-dimension one. For the class of equations considered in this paper, the viscosity solution…
This work considers the stability of nonlinear stochastic receding horizon control when the optimal controller is only computed approximately. A number of general classes of controller approximation error are analysed including…
The control Barrier function approach has been widely used for safe controller synthesis. By solving an online convex quadratic programming problem, an optimal safe controller can be synthesized implicitly in state-space. Since the solution…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…
This paper addresses the model-free nonlinear optimal problem with generalized cost functional, and a data-based reinforcement learning technique is developed. It is known that the nonlinear optimal control problem relies on the solution of…
We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…
Providing safety guarantees for learning-based controllers is important for real-world applications. One approach to realizing safety for arbitrary control policies is safety filtering. If necessary, the filter modifies control inputs to…
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…
In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. We analyze the case when an agent is trading on a market with two financial assets, whose…
Safe control with guarantees generally requires the system model to be known. It is far more challenging to handle systems with uncertain parameters. In this paper, we propose a generic algorithm that can synthesize and verify safe…
Recently, there has been a surge of research on a class of methods called feedback optimization. These are methods to steer the state of a control system to an equilibrium that arises as the solution of an optimization problem. Despite the…
Optimal control problems with constraints ensuring safety and convergence to desired states can be mapped onto a sequence of real time optimization problems through the use of Control Barrier Functions (CBFs) and Control Lyapunov Functions…
In this paper we consider the numerical approximation of infinite horizon problems via the dynamic programming approach. The value function of the problem solves a Hamilton-Jacobi-Bellman (HJB) equation that is approximated by a fully…
Control systems operating in the real world face countless sources of unpredictable uncertainties. These random disturbances can render deterministic guarantees inapplicable and cause catastrophic safety failures. To overcome this, this…
This paper studies the problem of enforcing safety of a stochastic dynamical system over a finite-time horizon. We use stochastic control barrier functions as a means to quantify the probability that a system exits a given safe region of…
The design of an automated vehicle controller can be generally formulated into an optimal control problem. This paper proposes a continuous-time finite-horizon approximate dynamicprogramming (ADP) method, which can synthesis off-line…