Related papers: Optimal Agnostic Control of Unknown Linear Dynamic…
We propose a general framework for studying optimal issue of CAT bonds in the presence of uncertainty on the parameters. In particular, the intensity of arrival of natural disasters is inhomogeneous and may depend on unknown parameters.…
In this paper we study stochastic control problems with delayed information, that is, the control at time $t$ can depend only on the information observed before time $t-H$ for some delay parameter $H$. Such delay occurs frequently in…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…
The present work addresses a finite-horizon linear-quadratic optimal control problem for uncertain systems driven by piecewise constant controls. The precise values of the system parameters are unknown, but assumed to belong to a finite set…
We propose a learning-based robust predictive control algorithm that compensates for significant uncertainty in the dynamics for a class of discrete-time systems that are nominally linear with an additive nonlinear component. Such systems…
Multistage risk-averse optimal control problems with nested conditional risk mappings are gaining popularity in various application domains. Risk-averse formulations interpolate between the classical expectation-based stochastic and minimax…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
Control barrier functions are widely used to synthesize safety-critical controls. However, the presence of Gaussian-type noise in dynamical systems can generate unbounded signals and potentially result in severe consequences. Although…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…
Infinite-dimensional linear conic formulations are described for nonlinear optimal control problems. The primal linear problem consists of finding occupation measures supported on optimal relaxed controlled trajectories, whereas the dual…
Model-based reinforcement learning seeks to simultaneously learn the dynamics of an unknown stochastic environment and synthesise an optimal policy for acting in it. Ensuring the safety and robustness of sequential decisions made through a…
This paper is concerned with a boundary control problem for the Cahn--Hilliard equation coupled with dynamic boundary conditions. In order to handle the control problem, we restrict our analysis to the case of regular potentials defined on…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
A novel method for control of dynamical systems, proposed in the paper, ensures an output signal belonging to the given set at any time. The method is based on a special change of coordinates such that the initial problem with given…
We consider a bilinear optimal control for an evolution equation involving the fractional Laplace operator of order $0<s<1$. We first give some existence and uniqueness results for the considered evolution equation. Next, we establish some…
We examine the problem of two-point boundary optimal control of nonlinear systems over finite-horizon time periods with unknown model dynamics by employing reinforcement learning. We use techniques from singular perturbation theory to…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…