Related papers: Dissipativity in infinite horizon optimal control …
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
We describe an algorithm to solve Bellman optimization that replaces a sum over paths determining the optimal cost-to-go by an analytic method localized in state space. Our approach follows from the established relation between stochastic…
The paper is devoted to the study of a new class of optimal control problems for nonsmooth dynamical systems governed by nonconvex discontinuous differential inclusions of the sweeping type with involving variable time into optimization. We…
This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
We revisit the linear programming approach to deterministic, continuous time, infinite horizon discounted optimal control problems. In the first part, we relax the original problem to an infinite-dimensional linear program over a measure…
Safety-critical cyber-physical systems require control strategies whose worst-case performance is robust against adversarial disturbances and modeling uncertainties. In this paper, we present a framework for approximate control and learning…
For optimal control problems on finite graphs in continuous time, the dynamic programming principle leads to value functions characterized by systems of nonlinear ordinary differential equations. In this paper, we consider the case of…
In this letter, we study the energy-optimal control of nonlinear port-Hamiltonian (pH) systems in discrete time. For continuous-time pH systems, energy-optimal control problems are strictly dissipative by design. This property, stating that…
In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent…
We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
We present a method of exploiting symmetries of discrete-time optimal control problems to reduce the dimensionality of dynamic programming iterations. The results are derived for systems with continuous state variables, and can be applied…
This paper introduces a novel approach to the optimal control of linear discrete-time systems subject to bounded disturbances. Our approach is based on the newly established duality between ellipsoidal approximations of reachable and hardly…
Recent work [Ran22] formulated a class of optimal control problems involving positive linear systems, linear stage costs, and elementwise constraints on control. It was shown that the problem admits linear optimal cost and the associated…
The paper deals with a risk averse dynamic programming problem with infinite horizon. First, the required assumptions are formulated to have the problem well defined. Then the Bellman equation is derived, which may be also seen as a…
A method is devised for numerically solving a class of finite-horizon optimal control problems subject to cascade linear discrete-time dynamics. It is assumed that the linear state and input inequality constraints, and the quadratic measure…