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This paper studies the data-driven synthesis of linear quadratic integral (LQI) controllers for continuous-time systems. The objective is to achieve optimal state-feedback control with integral action for reference tracking using only…
We propose a neural network approach that yields approximate solutions for high-dimensional optimal control problems and demonstrate its effectiveness using examples from multi-agent path finding. Our approach yields controls in a feedback…
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in…
Many core problems in nonlinear systems analysis and control can be recast as solving partial differential equations (PDEs) such as Lyapunov and Hamilton-Jacobi-Bellman (HJB) equations. Physics-informed neural networks (PINNs) have emerged…
A classical approach for solving discrete time nonlinear control on a finite horizon consists in repeatedly minimizing linear quadratic approximations of the original problem around current candidate solutions. While widely popular in many…
In this paper, we investigate a data-driven framework to solve Linear Quadratic Regulator (LQR) problems when the dynamics is unknown, with the additional challenge of providing stability certificates for the overall learning and control…
We study in this paper the linear quadratic optimal control (linear quadratic regulation, LQR for short) for discrete-time complex-valued linear systems, which have shown to have several potential applications in control theory. Firstly, an…
We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…
This paper proposes a fully data-driven approach for optimal control of nonlinear control-affine systems represented by a stochastic diffusion. The focus is on the scenario where both the nonlinear dynamics and stage cost functions are…
We present a novel deep learning approach to approximate the solution of large, sparse, symmetric, positive-definite linear systems of equations. These systems arise from many problems in applied science, e.g., in numerical methods for…
This article approaches deterministic filtering via an application of the min-plus linearity of the corresponding dynamic programming operator. This filter design method yields a set-valued state estimator for discrete-time nonlinear…
The goal of this thesis is to provide efficient and provably convergent numerical methods for solving partial differential equations (PDEs) coming from impulse control problems motivated by finance. Impulses, which are controlled jumps in a…
We establish the convergence of the deep Galerkin method (DGM), a deep learning-based scheme for solving high-dimensional nonlinear PDEs, for Hamilton-Jacobi-Bellman (HJB) equations that arise from the study of mean field control problems…
We study policy iteration (PI) for deterministic infinite-horizon discounted optimal control problems, whose value function is characterized by a stationary Hamilton--Jacobi--Bellman (HJB) equation. At the PDE level, PI is fundamentally…
Direct data-driven design methods for the linear quadratic regulator (LQR) mainly use offline or episodic data batches, and their online adaptation has been acknowledged as an open problem. In this paper, we propose a direct adaptive method…
We present a simple algorithm to approximate the viscosity solution of Hamilton-Jacobi (HJ) equations by means of an artificial deep neural network. The algorithm uses a stochastic gradient descent-based method to minimize the least square…
The Bellman equation and its continuous form, the Hamilton-Jacobi-Bellman equation, are ubiquitous in reinforcement learning and control theory. However, these equations become intractable for high-dimensional or nonlinear systems. This…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
A new algorithm for time dependent Hamilton Jacobi equations on networks, based on semi Lagrangian scheme, is proposed. It is based on the definition of viscosity solution for this kind of problems recently given in. A thorough convergence…
We consider a stochastic optimal control problem where the controller can anticipate the evolution of the driving noise over some dynamically changing time window. The controlled state dynamics are understood as a rough differential…