Related papers: Dissipativity in infinite horizon optimal control …
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected…
We consider a one dimensional elliptic distributed optimal control problem with pointwise constraints on the derivative of the state. By exploiting the variational inequality satisfied by the derivative of the optimal state, we obtain…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
Differential Dynamic Programming (DDP) has become a well established method for unconstrained trajectory optimization. Despite its several applications in robotics and controls however, a widely successful constrained version of the…
The solution of a constrained linear-quadratic regulator problem is determined by the set of its optimal active sets. We propose an algorithm that constructs this set of active sets for a desired horizon N from that for horizon N-1. While…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
We investigate optimal control of linear port-Hamiltonian systems with control constraints, in which one aims to perform a state transition with minimal energy supply. Decomposing the state space into dissipative and non-dissipative (i.e.…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
It is known that receding horizon control with a strictly pre-dissipative optimal control problem yields a practically asymptotically stable closed loop when suitable state constraints are imposed. In this note we show that alternatively…
We consider a broad class of dynamic programming (DP) problems that involve a partially linear structure and some positivity properties in their system equation and cost function. We address deterministic and stochastic problems, possibly…
In this article we study a finite horizon optimal control problem with monotone controls. We consider the associated Hamilton-Jacobi-Bellman (HJB) equation which characterizes the value function. We consider the totally discretized problem…
Mixed integer predictive control deals with optimizing integer and real control variables over a receding horizon. The mixed integer nature of controls might be a cause of intractability for instances of larger dimensions. To tackle this…
We explore the approximation of feedback control of integro-differential equations containing a fractional Laplacian term. To obtain feedback control for the state variable of this nonlocal equation we use the Hamilton--Jacobi--Bellman…
This study focuses on using direct methods (first-discretize-then-optimize) to solve optimal control problems for a class of nonsmooth dynamical systems governed by differential variational inequalities (DVI), called optimal control…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
We consider the optimal control problem of a general nonlinear spatio-temporal system described by Partial Differential Equations (PDEs). Theory and algorithms for control of spatio-temporal systems are of rising interest among the…
We present an algorithm, based on the Differential Dynamic Programming framework, to handle trajectory optimization problems in which the horizon is determined online rather than fixed a priori. This algorithm exhibits exact one-step…
The numerical realization of the dynamic programming principle for continuous-time optimal control leads to nonlinear Hamilton-Jacobi-Bellman equations which require the minimization of a nonlinear mapping over the set of admissible…
We present a theory of optimal control for McKean-Vlasov stochastic differential equations with infinite time horizon and discounted gain functional. We first establish the well-posedness of the state equation and of the associated control…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…