Related papers: Optimal Covariance Steering for Continuous-Time Li…
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…
We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
The optimal stochastic control problem with a quadratic cost functional for linear partial differential equations (PDEs) driven by a state-and control-dependent white noise is formulated and studied. Both finite-and infinite-time horizons…
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we…
In this paper, we present a new control policy parametrization for the finite-horizon covariance steering problem for discrete-time Gaussian linear systems (DTGLS) which can reduce the latter stochastic optimal control problem to a…
The present work addresses a finite-horizon linear-quadratic optimal control problem for uncertain systems driven by piecewise constant controls. The precise values of the system parameters are unknown, but assumed to belong to a finite set…
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 a velocity tracking problem for stochastic Navier-Stokes equations in a 2D-bounded domain. The control acts on the boundary through an injection-suction device with uncertainty, which acts in accordance with the non-homogeneous…
We investigate different turnpike phenomena of generalized discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic…
We consider the problem of steering, via output feedback, the state distribution of a discrete-time, linear stochastic system from an initial Gaussian distribution to a terminal Gaussian distribution with prescribed mean and maximum…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
We investigate pathwise turnpike behavior of discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic process…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
In this paper, we propose a sparsity-promoting feedback control design for stochastic linear systems with multiplicative noise. The objective is to identify a sparse control architecture that optimizes the closed-loop performance while…
In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…