Related papers: Turnpike and dissipativity in generalized discrete…
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
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…
This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…
We study a stochastic network that consists of a set of servers processing multiple classes of jobs. Each class of jobs requires a concurrent occupancy of several servers while being processed, and each server is shared among the job…
Near equilibrium, thermodynamic intuition suggests that fast, irreversible processes will dissipate more energy and entropy than slow, quasistatic processes connecting the same initial and final states. Here, we test the hypothesis that…
We consider an unregularized optimal control problem subject to the steady-state Navier-Stokes equations. We derive the existence of optimal solutions and prove first- and second-order optimality conditions. To approximate solutions to the…
A stochastic system under the influence of a stochastic environment is correlated with both present and future states of the environment. Such a system can be seen as implicitly implementing a predictive model of future environmental…
We analyze the consequences that the so-called turnpike property has on the long-time behavior of the value function corresponding to a finite-dimensional linear-quadratic optimal control problem with general terminal cost and constrained…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
This paper studies the distributed optimization problem with possibly nonidentical local constraints, where its global objective function is composed of $N$ convex functions. The aim is to solve the considered optimization problem in a…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic…
We consider different models of stochastic dissipative equations and theoretically compute the probability distribution functions (actually the associated large deviation functions) of the time averaged injected power required to sustain a…
A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field…
We consider a linear-quadratic pde constrained optimal control problem on an evolving surface with pointwise state constraints. We reformulate the optimization problem on a fixed surface and approximate the reformulated problem by a…
In this work, we analyze the properties of the solution to the covariance steering problem for discrete time Gaussian linear systems with a squared Wasserstein distance terminal cost. In our previous work, we have shown that by utilizing…
Physical systems driven away from equilibrium by an external controller dissipate heat to the environment; the excess entropy production in the thermal reservoir can be interpreted as a "cost" to transform the system in a finite time. The…
We study the problem of distributed online control of networked systems with time-varying cost functions and disturbances, where each node only has local information of the states and forecasts of the costs and disturbances. We develop a…