Related papers: A sequential estimation problem with control and d…
This paper focuses on the linear quadratic control (LQC) design of systems corrupted by both stochastic noise and bounded noise simultaneously. When only of these noises are considered, the LQC strategy leads to stochastic or robust…
The paper describes a continuous second-variation algorithm to solve optimal control problems where the control is defined on a closed set. A second order expansion of a Lagrangian provides linear updates of the control to construct a…
An iterative learning algorithm is presented for continuous-time linear-quadratic optimal control problems where the system is externally symmetric with unknown dynamics. Both finite-horizon and infinite-horizon problems are considered. It…
We derive an optimal policy for adaptively restarting a randomized algorithm, based on observed features of the run-so-far, so as to minimize the expected time required for the algorithm to successfully terminate. Given a suitable Bayesian…
Optimal control problems with oscillations (chattering controls) and concentrations (impulsive controls) can have integral performance criteria such that concentration of the control signal occurs at a discontinuity of the state signal.…
A new model for controlled sensing for multihypothesis testing is proposed and studied in the sequential setting. This new model, termed {\em controlled Markovian observation} model, exhibits a more complicated memory structure in the…
We consider a dynamical system with finitely many equilibria and perturbed by small noise, in addition to being controlled by an `expensive' control. The controlled process is optimal for an ergodic criterion with a running cost that…
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior…
In this paper, we study the problem of how to optimally steer the state covariance of a general continuous-time linear stochastic system over a finite time interval subject to additive noise. Optimality here means reaching a target state…
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…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
We consider a linear-quadratic elliptic optimal control problem with point evaluations of the state variable in the cost functional. The state variable is discretized by conforming linear finite elements. For control discretization, three…
We investigate a control process described by a linear system of ordinary differential equations with a noise of special type acting to the control parameter. As the cost functional the probability of the final state vector to enter to a…
In this article a special class of nonlinear optimal control problems involving a bilinear term in the boundary condition is studied. These kind of problems arise for instance in the identification of an unknown space-dependent Robin…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
We study the problem of optimal inside control of an SPDE (a stochastic evolution equation) driven by a Brownian motion and a Poisson random measure. Our optimal control problem is new in two ways: (i) The controller has access to inside…
We consider the use of feedback control during a measurement to increase the rate at which a single qubit is purified, and more generally the rate at which near-pure states may be prepared. We derive the optimal bang-bang algorithm for…
We study an optimal control problem for the stochastic wave equation driven by affine multiplicative noise, formulated as a stochastic linear-quadratic (SLQ) problem. By applying a stochastic Pontryagin's maximum principle, we characterize…