Related papers: Optimal Covariance Steering for Discrete-Time Line…
We investigate the discrete-time stochastic linear quadratic control problem for a population of cooperative agents under the hard equality constraint on total control inputs, motivated by demand response in renewable energy systems. We…
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficients. The optimality system, which is a linear mean-field…
This paper considers the problem of steering the state distribution of a nonlinear stochastic system from an initial Gaussian to a terminal distribution with a specified mean and covariance, subject to probabilistic path constraints. An…
In this paper, we study non-homogeneous stochastic linear-quadratic (LQ) optimal control problems with multi-dimensional state and regime switching. We focus on the corresponding stochastic Riccati equation, which is the same as that one in…
In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original…
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 introduces a novel approach to the optimal control of linear discrete-time systems subject to bounded disturbances. Our approach is based on the newly established duality between ellipsoidal approximations of reachable and hardly…
This work addresses the problem of optimally steering the state covariance of a linear stochastic system from an initial to a target, subject to hybrid transitions. The nonlinear and discontinuous jump dynamics complicate the control design…
We propose a time-implicit, finite-element based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control problem with the stochastic heat equation driven by linear…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…
This work considers the optimal covariance steering problem for systems subject to both additive noise and uncertain parameters which may enter multiplicatively with the state and the control. The unknown parameters are modeled as a…
Dual control denotes a class of control problems where the parameters governing the system are imperfectly known. The challenge is to find the optimal balance between probing, i.e. exciting the system to understand it more, and caution,…
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 study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…