Related papers: Optimal Covariance Steering for Continuous-Time Li…
In this work, we analyze the properties of the solution to the covariance steering problem for discrete time Gaussian linear systems with a squared Wasserstein distance terminal cost. In our previous work, we have shown that by utilizing…
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 paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…
This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…
This work addresses the exact characterization of the covariance dynamics related to linear discrete-time systems subject to both additive and parametric stochastic uncertainties that are potentially unbounded. Using this characterization,…
We propose an open loop methodology based on sample statistics to solve chance constrained stochastic optimal control problems with probabilistic safety guarantees for linear systems where the additive Gaussian noise has unknown mean and…
This paper addresses the problem of output-feedback covariance steering for stochastic, discrete-time, linear, time-invariant systems without knowledge of the system model. We employ a controllable, non-minimal state representation…
This work addresses the problem of optimally steering the state covariance of a linear stochastic system from an initial to a target, subject to hybrid transitions. The nonlinear and discontinuous jump dynamics complicate the control design…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
This article deals with a stochastic control problem for certain fluids of non-Newtonian type. More precisely, the state equation is given by the two-dimensional stochastic second grade fluids perturbed by a multiplicative white noise. The…
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…
We study the problem of \textit{safe control of linear dynamical systems corrupted with non-stochastic noise}, and provide an algorithm that guarantees (i) zero constraint violation of convex time-varying constraints, and (ii) bounded…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
We consider the problem to steer a linear dynamical system with full state observation from an initial gaussian distribution in state-space to a final one with minimum energy control. The system is stochastically driven through the control…
Many techniques originally developed in the context of deterministic control theory have been recently applied to the quest for optimal protocols in stochastic processes. Given a system subject to environmental fluctuations, one may ask…
Control of continuous time dynamics with multiplicative noise is a classic topic in stochastic optimal control. This work addresses the problem of designing infinite horizon optimal controls with stability guarantees for \textit{a single…
In this paper, we consider the problem of steering a family of independent, structurally identical, finite-dimensional stochastic linear systems with variation in system parameters between initial and target states of interest by using an…
We study a finite-horizon covariance steering problem for discrete-time Markov jump linear systems (MJLS) with both state- and control-dependent multiplicative noise. The objective is to minimize a quadratic running cost while steering the…