Related papers: Dissipativity in infinite horizon optimal control …
The close link between dissipativity and optimal control is already apparent in Jan C. Willems' first papers on the subject. In recent years, research on this link has been revived with a particular focus on nonlinear problems and…
The paper is devoted to deriving necessary optimality conditions in a general optimal control problem for dynamical systems governed by controlled sweeping processes with hard-constrained control actions entering both polyhedral moving sets…
This letter is devoted to the concept of ``instant'' model predictive control (iMPC) for linear systems. An optimization problem is formulated to express the finite-time constrained optimal regulation control, like conventional MPC. Then,…
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…
This paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting. We obtain a condition on the discount factor process under which all of the standard optimality results…
We propose an optimal control framework for persistent monitoring problems where the objective is to control the movement of mobile nodes to minimize an uncertainty metric in a given mission space. For multi agent in a one-dimensional…
We formulate and study the infinite dimensional linear programming (LP) problem associated with the deterministic discrete time long-run average criterion optimal control problem. Along with its dual, this LP problem allows one to…
We propose an optimal control framework for persistent monitoring problems where the objective is to control the movement of mobile agents to minimize an uncertainty metric in a given mission space. For a single agent in a one-dimensional…
This paper studies optimal time-bounded control in multi-mode systems with discrete costs. Multi-mode systems are an important subclass of linear hybrid systems, in which there are no guards on transitions and all invariants are global.…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
Turnpikes have recently gained significant research interest in optimal control, since they allow for pivotal insights into the structure of solutions to optimal control problems. So far, mainly steady state solutions which serve as optimal…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
Following Demidovich's concept and definition of convergent systems, we analyze the optimal nonlinear damping control, recently proposed [1] for the second-order systems. Targeting the problem of output regulation, correspondingly tracking…
We consider mixed-integer optimal control problems with combinatorial constraints that couple over time such as minimum dwell times. We analyze a lifting and decomposition approach into a mixed-integer optimal control problem without…
This paper studies an infinite horizon optimal control problem for discrete-time linear system and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. In this general…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
We survey the main numerical techniques for finite-dimensional nonlinear optimal control. The chapter is written as a guide to practitioners who wish to get rapidly acquainted with the main numerical methods used to efficiently solve an…