Related papers: An Optimal Control Problem with Terminal Stochasti…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…
We propose a novel Galerkin discretization scheme for stochastic optimal control problems on an indefinite time horizon. The control problems are linear-quadratic in the controls, but possibly nonlinear in the state variables, and the…
This paper studies the stochastic optimal control problem for systems with unknown dynamics. A novel decoupled data based control (D2C) approach is proposed, which solves the problem in a decoupled "open loop-closed loop" fashion that is…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
We establish a linear programming formulation for the solution of joint chance constrained optimal control problems over finite time horizons. The joint chance constraint may represent an invariance, reachability or reach-avoid…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
We formulate pure characteristics demand models under uncertainties of probability distributions as distributionally robust mathematical programs with stochastic complementarity constraints (DRMP-SCC). For any fixed first-stage variable and…
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…
In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…
We consider a semi-Lagrangian scheme for solving the minimum time problem, with a given target, and the associated eikonal type equation. We first use a discrete time deterministic optimal control problem interpretation of the time…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
In this paper we study an optimal control problem (OCP) associated to a linear elliptic equation {on a bounded domain $\Omega$}. The matrix-valued coefficients A of such systems is our control taken in L2 which in particular may comprise…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
This article introduces a numerical algorithm that serves as a preliminary step toward solving continuous-time model predictive control (MPC) problems directly without explicit time-discretization. The chief ingredients of the underlying…
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…
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…
This paper studies consensus-based decentralized stochastic optimization for minimizing possibly non-convex expected objectives with convex non-smooth regularizers and nonlinear functional inequality constraints. We reformulate the…