Related papers: Optimal Covariance Steering for Continuous-Time Li…

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 optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…

This paper first makes an attempt to investigate the partial information near optimal control of systems governed by forward-backward stochastic differential equations with observation noise under the assumption of a convex control domain.…

This work considers state dynamics driven by Periodic Autoregressive Moving Average noise, and control of the system over time. Such processes appear frequently in applications involving the environment, such as energy and agriculture.…

This paper presents an adaptive ensemble control for stochastic systems subject to asymmetric noises and outliers. Asymmetric noises skew system observations, and outliers with large amplitude deteriorate the observations even further. Such…

The aim of the present paper is to provide necessary and sufficient conditions to maintain a stochastic coupled system, with porous media components and gradient-type noise in a prescribed set of constraints by using internal controls. This…

This work is concerned with the finite-horizon optimal covariance steering of networked systems governed by discrete-time stochastic linear dynamics. In contrast with existing work that has only considered systems with dynamically decoupled…

The paper is devoted to a stochastic optimal control problem for a two scale, infinite dimensional, stochastic system. The state of the system consists of slow and fast component and its evolution is driven by both continuous Wiener noises…

We study the problem of system identification for stochastic continuous-time dynamics, based on a single finite-length state trajectory. We present a method for estimating the possibly unstable open-loop matrix by employing properly…

Robust stability and stochastic stability have separately seen intense study in control theory for many decades. In this work we establish relations between these properties for discrete-time systems and employ them for robust control…

We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…

This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…

In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…

We address an optimal control problem for linear stochastic systems with unknown noise distributions and joint chance constraints using conformal prediction. Our approach involves designing a feedback controller to maintain an error system…

This paper studies the adaptive optimal stationary control of continuous-time linear stochastic systems with both additive and multiplicative noises, using reinforcement learning techniques. Based on policy iteration, a novel off-policy…

This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…

The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…

We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…

We consider the problem of adaptive stabilization for discrete-time, multi-dimensional linear systems with bounded control input constraints and unbounded stochastic disturbances, where the parameters of the true system are unknown. To…

This study addresses limited attention allocation in a stochastic linear quadratic system with multiplicative noise. Our approach enables strategic resource allocation to enhance noise estimation and improve control decisions. We provide…