Related papers: Discrete-time Optimal Covariance Steering via Semi…
The problem of optimizing affine feedback laws that explicitly steer the mean and covariance of an uncertain system state in the presence of a Gaussian random field is considered. Spatially-dependent disturbances are successively…
We propose a stochastic gradient framework for solving stochastic composite convex optimization problems with (possibly) infinite number of linear inclusion constraints that need to be satisfied almost surely. We use smoothing and homotopy…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
The minimum-time control problem consists in finding a control policy that will drive a given dynamic system from a given initial state to a given target state (or a set of states) as quickly as possible. This is a well-known challenging…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A…
Temporal point processes have been widely applied to model event sequence data generated by online users. In this paper, we consider the problem of how to design the optimal control policy for point processes, such that the stochastic…
We examine robust output feedback control of discrete-time nonlinear systems with bounded uncertainties affecting the dynamics and measurements. Specifically, we demonstrate how to construct semi-infinite programs that produce gains to…
Discrete Lossless Convexification (DLCvx) formulates a convex relaxation for a specific class of discrete-time non-convex optimal control problems. It establishes sufficient conditions under which the solution of the relaxed problem…
Semidiscrete optimal transport is a challenging generalization of the classical transportation problem in linear programming. The goal is to design a joint distribution for two random variables (one continuous, one discrete) with fixed…
This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due to lack of regularity, we consider a semi-discrete scheme by…
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 consider a variational convex relaxation of a class of optimal partitioning and multiclass labeling problems, which has recently proven quite successful and can be seen as a continuous analogue of Linear Programming (LP) relaxation…
In this paper, we consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. The…
We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…
This paper is concerned with the linear quadratic optimal control of discrete-time time-varying system with terminal state constraint. The main contribution is to propose a Q-learning algorithm for the optimal controller when the…
In this article, we show that each semidefinite relaxation of a ball-constrained noncommutative polynomial optimization problem can be cast as a semidefinite program with a constant trace matrix variable. We then demonstrate how this…
The paper considers the problem of constructing program control for an object described by a system with a quasidifferentiable right-hand side. The control aim is to bring the system from a given initial position to a given final state in…
We propose an approach to trajectory optimization for piecewise polynomial systems based on the recently proposed graphs of convex sets framework. We instantiate the framework with a convex relaxation of optimal control based on occupation…
In recent years, semidefinite relaxations of common optimization problems in robotics have attracted growing attention due to their ability to provide globally optimal solutions. In many cases, it was shown that specific handcrafted…