Related papers: Robust Time-inconsistent Linear-Quadratic Stochast…
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their…
In this paper we present a framework for risk-averse model predictive control (MPC) of linear systems affected by multiplicative uncertainty. Our key innovation is to consider time-consistent, dynamic risk metrics as objective functions to…
This article extends the optimal covariance steering (CS) problem for discrete time linear stochastic systems modeled using moment-based ambiguity sets. To hedge against the uncertainty in the state distributions while performing covariance…
In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the…
The goal of this paper is to assess the robustness of an uncertain linear time-varying (LTV) system on a finite time horizon. The uncertain system is modeled as a connection of a known LTV system and a perturbation. The input/output…
This paper presents a continuous-time optimal control framework for the generation of reference trajectories in driving scenarios with uncertainty. A previous work presented a discrete-time stochastic generator for autonomous vehicles;…
We study the temporal robustness of temporal logic specifications and show how to design temporally robust control laws for time-critical control systems. This topic is of particular interest in connected systems and interleaving processes…
Control problems not admitting the dynamic programming principle are known as time-inconsistent. The game-theoretic approach is to interpret such problems as intrapersonal dynamic games and look for subgame perfect Nash equilibria. A…
This paper proposes a novel robust reinforcement learning framework for discrete-time linear systems with model mismatch that may arise from the sim-to-real gap. A key strategy is to invoke advanced techniques from control theory. Using the…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…
This paper focuses on a class of continuous-time controlled Markov chains with time-inconsistent and distribution-dependent cost functional (in some appropriate sense). A new definition of time-inconsistent distribution-dependent…
This work theoretically studies a ubiquitous reinforcement learning policy for controlling the canonical model of continuous-time stochastic linear-quadratic systems. We show that randomized certainty equivalent policy addresses the…
This paper presents two stochastic model predictive control methods for linear time-invariant systems subject to unbounded additive uncertainties. The new methods are developed by formulating the chance constraints into deterministic form,…
We study the problem of \textit{safe control of linear dynamical systems corrupted with non-stochastic noise}, and provide an algorithm that guarantees (i) zero constraint violation of convex time-varying constraints, and (ii) bounded…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
We consider the problem of robust and adaptive model predictive control (MPC) of a linear system, with unknown parameters that are learned along the way (adaptive), in a critical setting where failures must be prevented (robust). This…
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 addresses two minimum reaching time control problems within the context of finite stable systems. The well-known Variable Structure Control (VSC) and Unity Vector Control (UVC) strategies are analyzed, with the primary objective…
We formulate and solve a discrete-time linear-quadratic regulation (LQR) problem in a finite horizon that penalizes temporal variability and stochastic variability of the state trajectory. Our approach enables the user to strike a balance…