Related papers: A sequential estimation problem with control and d…
We discuss the problem of input design for uncertainty reduction in a parameter estimation procedure. Assuming a linear continuous-time control system with noisy measurements, we formulate an objective of variance reduction in a Bayesian…
This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…
We propose and analyze a posteriori error estimators for an optimal control problem that involves an elliptic partial differential equation as state equation and a control variable that enters the state equation as a coefficient; pointwise…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
In this paper, we study a stochastic linear-quadratic control problem with random coefficients and regime switching on a horizon $[0,T\wedge\tau]$, where $\tau$ is a given random jump time for the underlying state process and $T$ is a…
The problem of decentralized sequential change detection is considered, where an abrupt change occurs in an area monitored by a number of sensors; the sensors transmit their data to a fusion center, subject to bandwidth and energy…
We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…
This thesis is concerned with the rejection of time-varying disturbances in linear model predictive control of discrete-time systems. In the literature, disturbances are widely rejected by using velocity models, disturbance model with…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
We consider the integral definition of the fractional Laplacian and analyze a linear-quadratic optimal control problem for the so-called fractional heat equation; control constraints are also considered. We derive existence and uniqueness…
This paper deals with optimal control problems described by a controlled version of Moreau's sweeping process governed by convex polyhedra, where measurable control actions enter additive perturbations. This class of problems, which…
We study a simple singular control problem for a Brownian motion with constant drift and variance reflected at the origin. Exerting control pushes the process towards the origin and generates a concave increasing state-dependent yield which…
A sequential problem in decentralized detection is considered. Two observers can make repeated noisy observations of a binary hypothesis on the state of the environment. At any time, observer 1 can stop and send a final binary message to…
We devise and analyze a reliable and efficient a posteriori error estimator for a semilinear control-constrained optimal control problem in two and three dimensional Lipschitz, but not necessarily convex, polytopal domains. We consider a…
This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More…
A multi-source quickest detection problem is considered. Assume there are two independent Poisson processes $X^{1}$ and $X^{2}$ with disorder times $\theta_{1}$ and $\theta_{2}$, respectively; that is, the intensities of $X^1$ and $X^2$…
We introduce a family of hybrid discretisations for the numerical approximation of optimal control problems governed by the equations of immiscible displacement in porous media. The proposed schemes are based on mixed and discontinuous…
The classical maximum principle for optimal stochastic control states that if a control $\hat{u}$ is optimal, then the corresponding Hamiltonian has a maximum at $u=\hat{u}$. The first proofs for this result assumed that the control did not…
This work addresses the problem of risk-sensitive control for nonlinear systems with imperfect state observations, extending results for the linear case. In particular, we derive an algorithm that can compute local solutions with…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…