Related papers: An entropy penalized approach for stochastic contr…
Dual control explicitly addresses the problem of trading off active exploration and exploitation in the optimal control of partially unknown systems. While the problem can be cast in the framework of stochastic dynamic programming, exact…
In this brief, we consider the constrained optimization problem underpinning model predictive control (MPC). We show that this problem can be decomposed into an unconstrained optimization problem with the same cost function as the original…
In this work, we develop a reduced-basis approach for the efficient computation of parametrized expected values, for a large number of parameter values, using the control variate method to reduce the variance. Two algorithms are proposed to…
This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…
In this paper, an efficient parallel splitting method is proposed for the optimal control problem with parabolic equation constraints. The linear finite element is used to approximate the state variable and the control variable in spatial…
Recent advances in continuous-time optimal stopping have been driven by entropy-regularized formulations of randomized stopping problems, with most existing approaches relying on partial differential equation methods. In this paper, we…
The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
We investigate non-convex optimization problems in $BV(\Omega)$ with two-sided pointwise inequality constraints. We propose a regularization and penalization method to numerically solve the problem. Under certain conditions, weak limit…
Constrained non-convex optimization problems frequently arise in control applications. Solving such problems is inherently challenging, as existing methods often converge to suboptimal local minima or incur prohibitive computational costs.…
We consider optimal control problems with integer-valued controls and a total variation regularization penalty in the objective on domains of dimension two or higher. The penalty yields that the feasible set is sequentially closed in the…
This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties…
This paper considers the one-bit precoding problem for the multiuser downlink massive multiple-input multiple-output (MIMO) system with phase shift keying (PSK) modulation and focuses on the celebrated constructive interference (CI)-based…
We present a hierarchical computation approach for solving finite-time optimal control problems using operator splitting methods. The first split is performed over the time index and leads to as many subproblems as the length of the…
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…
In this work we provide a first order sensitivity analysis of some parameterized stochastic optimal control problems. The parameters can be given by random processes. The main tool is the one-to-one correspondence between the adjoint states…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
We consider a pointwise tracking optimal control problem for a semilinear elliptic partial differential equation. We derive the existence of optimal solutions and analyze first and, necessary and sufficient, second order optimality…
The primary focus of this paper is on designing an inexact first-order algorithm for solving constrained nonlinear optimization problems. By controlling the inexactness of the subproblem solution, we can significantly reduce the…
The numerical analysis of a family of distributed mixed optimal control problems governed by elliptic variational inequalities (with parameter $\alpha >0$) is obtained through the finite element method when its parameter $h\rightarrow 0$.…