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This paper is concerned with the linear quadratic optimal control of discrete-time time-varying system with terminal state constraint. The main contribution is to propose a Q-learning algorithm for the optimal controller when the…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
Here is investigated the bilinear optimal control problem of quantum mechanical systems with final observation governed by a stochastic nonlinear Schr\"odinger equation perturbed by a linear multiplicative Wiener process. The existence of…
A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique,…
We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
Conditions are established under which the optimal control of processes having both absolutely continuous and singular (with respect to time) controls are equivalent to linear programs over a space of measures on the state and control…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
The objectives and contributions of this paper are mathematical and numerical analyses of a stochastic control problem of bounded population dynamics under ambiguity, an important but not well-studied problem, focusing on the optimality…
We consider the problem of designing a feedback controller that guides the input and output of a linear time-invariant system to a minimizer of a convex optimization problem. The system is subject to an unknown disturbance that determines…
We study a stochastic velocity tracking problem for the 2D-Navier-Stokes equations perturbed by a multiplicative Gaussian noise. From a physical point of view, the control acts through a boundary injection/suction device with uncertainty,…
In this paper, we are concerned with a stochastic optimal control problem of mean-field type under partial observation, where the state equation is governed by the controlled nonlinear mean-field stochastic differential equation, moreover…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
Optimal control of bilinear systems has been a well-studied subject in the area of mathematical control. However, techniques for solving emerging optimal control problems involving an ensemble of structurally identical bilinear systems are…
Time delays are ubiquitous in industry, and they must be accounted for when designing control strategies. However, numerical optimal control (NOC) of delay differential equations (DDEs) is challenging because it requires specialized…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
The paper considers a stabilizing stochastic control which can be applied to a variety of unstable and even chaotic maps. Compared to previous methods introducing control by noise, we relax assumptions on the class of maps, as well as…
We provide a technique to obtain provably optimal control sequences for quantum systems under the influence of time-correlated multiplicative control noise. Utilizing the circuit-level noise model introduced in [Phys. Rev. Research 3,…