Related papers: Remarks on finite and infinite time-horizon optima…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…
We derive equivalent linear and dynamic programs for infinite horizon risk-sensitive control for minimization of the asymptotic growth rate of the cumulative cost.
Adaptive optimal control of nonlinear dynamic systems with deterministic and known dynamics under a known undiscounted infinite-horizon cost function is investigated. Policy iteration scheme initiated using a stabilizing initial control is…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous…
For linear infinite systems the approximate controllability problem by control constraints is considered. Controllability conditions represented via system parameters are obtained. Partial differential control systems and control systems…
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,…
We present the conditions under which the time-optimal control problem for a nonlinear non-autonomous linearizable system can be solved by the method of successive approximations, at each step of which a power Markov moment min-problem is…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
In this paper, we consider an infinite horizon Linear-Quadratic-Gaussian control problem with controlled and costly measurements. A control strategy and a measurement strategy are co-designed to optimize the trade-off among control…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…
In this paper we consider an infinite time horizon risk-sensitive optimal stopping problem for a Feller--Markov process with an unbounded terminal cost function. We show that in the unbounded case an associated Bellman equation may have…
In this paper, we consider the problem of controlling a dynamical system such that its trajectories satisfy a temporal logic property in a given amount of time. We focus on multi-affine systems and specifications given as syntactically…
In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…
The problems of optimizing the value of an arbitrary observable of the two-level system at both a fixed time and the shortest possible time is theoretically explored. Complete identification and classification along with comprehensive…
In this paper, we consider a time-optimal control problem with uncertainties. Dynamics of controlled object is expressed by crisp linear system of differential equations with fuzzy initial and final states. We introduce a notion of fuzzy…
This paper focuses on infinite-horizon optimal control problems for dissipative systems and the relations to their finite-horizon formulations. We show that, for a large class of problems, dissipativity of the state equation, when a…
Presented is an algorithm to synthesize an infinite-horizon LQR optimal feedback controller for continuous-time systems. The algorithm does not require knowledge of the system dynamics, but instead uses only a finite-length sampling of…
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly…