Related papers: Optimal Covariance Steering for Continuous-Time Li…
In this article, we address the velocity tracking control problem for a class of stochastic non-Newtonian fluids. More precisely, we consider the stochastic third-grade fluid equation perturbed by infinite-dimensional additive white noise…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
This paper addresses the mean-square optimal control problem for \a class of discrete-time linear systems with a quasi-colored control-dependent multiplicative noise via output feedback. The noise under study is novel and shown to have…
The paper studies identification of linear systems with multiplicative noise from multiple-trajectory data. An algorithm based on the least-squares method and multiple-trajectory data is proposed for joint estimation of the nominal system…
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…
We study ergodic quadratic optimal stochastic control problems for an affine state equation with state and control dependent noise and with stochastic coefficients. We assume stationarity of the coefficients and a finite cost condition. We…
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…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
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…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
This paper studies optimal control and stabilization problems for continuous-time mean-field systems with input delay, which are the fundamental development of control and stabilization problems for mean-field systems. There are two main…
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…
A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the cost weighting matrices. From some abstract representations of…
The stochastic linear--quadratic regulator problem subject to Gaussian disturbances is well known and usually addressed via a moment-based reformulation. Here, we leverage polynomial chaos expansions, which model random variables via series…
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by…
This paper studies the optimal tracking control problem for continuous-time stochastic linear systems with multiplicative noise. The solution framework involves solving a stochastic algebraic Riccati equation for the feedback gain and a…
We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…