Related papers: Discrete time risk sensitive control problem
We investigate the local boundary controllability of the Korteweg-de Vries (KdV) equation with right Neumann boundary controls at critical lengths. We show that the KdV system is not locally null-controllable in small time for all critical…
We consider variational discretization of a parabolic optimal control problem governed by space-time measure controls. For the state discretization we use a Petrov-Galerkin method employing piecewise constant states and piecewise linear and…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
Main objects of the paper are stationary and weak KAM Hamilton-Jacobi equations on the finite-dimensional torus. The key idea of the paper is to replace the underlying calculus of variations problems with continuous time Markov decision…
We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transition function for which the Bellman optimality equation holds.…
Differential algebraic Riccati equations are at the heart of many applications in control theory. They are time-depent, matrix-valued, and in particular nonlinear equations that require special methods for their solution. Low-rank methods…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
This study presents the design, discretization and implementation of the continuous-time linear-quadratic model predictive control (CT-LMPC). The control model of the CT-LMPC is parameterized as transfer functions with time delays, and they…
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…
In this paper, we equip the conventional discrete-time queueing network with a Markovian input process, that, in addition to the usual short-term stochastics, governs the mid- to long-term behavior of the links between the network nodes.…
This technical note is concerned with boundary stabilization of multi-dimensional discrete-velocity kinetic models. By exploiting a certain stability structure of the models and adapting an appropriate Lyapunov functional, we derive…
This paper is devoted to the study of the internal null-controllability of the Grushin equation. We determine the minimal time of controllability for a large class of non-rectangular control region. We establish the positive result thanks…
In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…
We establish the existence of optimal scheduling strategies for time-bounded reachability in continuous-time Markov decision processes, and of co-optimal strategies for continuous-time Markov games. Furthermore, we show that optimal control…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
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…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
We consider the problem of adaptive stabilization for discrete-time, multi-dimensional linear systems with bounded control input constraints and unbounded stochastic disturbances, where the parameters of the true system are unknown. To…
This work addresses the finite-time enclosing control problem where a set of followers are deployed to encircle and rotate around multiple moving targets with a predefined spacing pattern in finite time. A novel distributed and continuous…