Related papers: Discrete-time Approximation of Stochastic Optimal …
We design and analyze solution techniques for a linear-quadratic optimal control problem involving the integral fractional Laplacian. We derive existence and uniqueness results, first order optimality conditions, and regularity estimates…
This paper focuses on the application of time domain decomposition to solve partial differential equations constrained optimization problems and controllability problems. After clarifying the link between these two types of problems, we…
This paper develops an adaptive state tracking control scheme for discrete-time systems, using the least-squares algorithm, as the new solution to the long-standing discrete-time adaptive state tracking control problem to which the Lyapunov…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
We consider finite element solutions to quadratic optimization problems, where the state depends on the control via a well-posed linear partial differential equation. Exploiting the structure of a suitably reduced optimality system, we…
A complete analytic solution for the time-optimal control problem for nonlinear control systems of the form $\dot x_1=u$, $\dot x_j=x_1^{j-1}$, $j=2,\ldots,n$, is obtained for arbitrary $n$. The main goal of the paper is to present the…
This paper presents an algorithm to apply nonlinear control design approaches in the case of stochastic systems with partial state observation. Deterministic nonlinear control approaches are formulated under the assumption of full state…
We propose a new method for the problem of controlling linear dynamical systems under partial observation and adversarial disturbances. Our new algorithm, Double Spectral Control (DSC), matches the best known regret guarantees while…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
In this paper, we consider the finite element approximation to a parabolic Dirichlet boundary control problem and establish new a priori error estimates. In the temporal semi-discretization we apply the DG(0) method for the state and the…
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…
A new iterative algorithm for solving initial data inverse problems from partial observations has been recently proposed in Ramdani, Tucsnak and Weiss [15]. Based on the concept of observers (also called Luenberger observers), this…
We consider a control-constrained optimal control problem subject to time-harmonic Maxwell's equations; the control variable belongs to a finite-dimensional set and enters the state equation as a coefficient. We derive existence of optimal…
This article explores the discrete-time stochastic optimal LQR control with delay and quadratic constraints. The inclusion of delay, compared to delay-free optimal LQR control with quadratic constraints, significantly increases the…
We consider the joint problem of system identification and inverse optimal control for discrete-time stochastic Linear Quadratic Regulators. We analyze finite and infinite time horizons in a partially observed setting, where the state is…
We consider recent work of Haber and Ruthotto 2017 and Chang et al. 2018, where deep learning neural networks have been interpreted as discretisations of an optimal control problem subject to an ordinary differential equation constraint. We…
We consider the problem of stochastic optimal control in the presence of an unknown disturbance. We characterize the disturbance via empirical characteristic functions, and employ a chance constrained approach. By exploiting properties of…
We address the problem of computing a control for a time-dependent nonlinear system to reach a target set in a minimal time. To solve this minimal time control problem, we introduce a hierarchy of linear semi-infinite programs, the values…
We propose a parallel algorithm for the numerical solution of a class of second order semi-linear equations coming from stochastic optimal control problems, by means of a dynamic domain decomposition technique. The new method is an…
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…