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We consider a data-driven formulation of the classical discrete-time stochastic control problem. Our approach exploits the natural structure of many such problems, in which significant portions of the system are uncontrolled. Employing the…
This paper is concerned with a class of stochastic optimization problems defined on a Banach space with almost sure conic-type constraints. For this class of problems, we investigate the consistency of optimal values and solutions…
This paper investigates the $H_{2}/H_{\infty}$ control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state accessibility, we consider the scenario where the controller…
We present a branch-and-bound algorithm for globally solving parabolic optimal control problems with binary switches that have bounded variation and possibly need to satisfy further combinatorial constraints. More precisely, for a given…
A discretization of an optimal control problem of a stochastic parabolic equation driven by multiplicative noise is analyzed. The state equation is discretized by the continuous piecewise linear element method in space and by the backward…
In this paper, we consider a class of time-optimal control problems governed by linear parabolic equations with mixed control-state constraints and end-point constraints, and without Tikhonov regularization term in the objective function.…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
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 study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
We study a singular perturbation problem for second-order Hamilton-Jacobi equations in the Wasserstein space. Specifically, we characterize the behavior of the solutions as the perturbation parameter $\varepsilon$ tends to zero. The notion…
We present a data-driven algorithm for efficiently computing stochastic control policies for general joint chance constrained optimal control problems. Our approach leverages the theory of kernel distribution embeddings, which allows…
We construct a sequence that converges to a solution of the Cauchy problem for a singularly perturbed linear inhomogeneous differential equation of an arbitrary order. This sequence is also an asymptotic sequence in the following sense: the…
For an optimal control problem of an It\^o's type stochastic differential equation, the control process could be taken as open-loop or closed-loop forms. In the standard literature, provided appropriate regularity, the value functions under…
End-point maximal $L^1$-regularity for parabolic initial-boundary value problems is considered. For the inhomogeneous Dirichlet and Neumann data, maximal $L^1$-regularity for initial-boundary value problems is established in time end-point…
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…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
The main objective of this article is to present Bayesian optimal control over a class of non-autonomous linear stochastic discrete time systems with disturbances belonging to a family of the one parameter uniform distributions. It is…
We consider a general linear program in standard form whose right-hand side constraint vector is subject to random perturbations. This defines a stochastic linear program for which, under general conditions, we characterize the fluctuations…
We consider linear model reduction in both the control and state variables for unconstrained linear-quadratic optimal control problems subject to time-varying parabolic PDEs. The first-order optimality condition for a state-space reduced…
In this paper we study homogenization of a class of control problems in a stationary and ergodic random environment. This problem has been mostly studied in the calculus of variations setting in connection to the homogenization of the…