Related papers: Control problems on infinite horizon subject to ti…
In this paper, we consider an infinite horizon Linear-Quadratic-Gaussian control problem with controlled and costly measurements. A control strategy and a measurement strategy are co-designed to optimize the trade-off among control…
This paper aims to study a family of deterministic optimal control problems in infinite dimensional spaces. The peculiar feature of such problems is the presence of a positivity state constraint, which often arises in economic applications.…
We establish three tractable, jointly sufficient conditions for the control landscapes of non-linear control systems to be trap free comparable to those now well known in quantum control. In particular, our results encompass end-point…
In the paper we consider the infinite horizon control problems on the interval with free right-hand endpoint. We obtain the necessary conditions of strict optimality. The method of the proof actually follows the classic paper by Halkin, and…
This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment. Different from [17], the cost functionals do not have…
In this paper, we describe a constrained Lagrangian and Hamiltonian formalism for the optimal control of nonholonomic mechanical systems. In particular, we aim to minimize a cost functional, given initial and final conditions where the…
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas and Shreve [SIAM J. Control Optim. 22 (1984)]. The aim of this…
We discuss a mathematical framework for analysis of optimal control problems on infinite-dimensional manifolds. Such problems arise in study of optimization for partial differential equations with some symmetry. It is shown that some…
We study control of constrained linear systems with only partial statistical information about the uncertainty affecting the system dynamics and the sensor measurements. Specifically, given a finite collection of disturbance realizations…
We consider the problem of computing optimal linear control policies for linear systems in finite-horizon. The states and the inputs are required to remain inside pre-specified safety sets at all times despite unknown disturbances. In this…
In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…
This paper considers receding horizon control of finite deterministic systems, which must satisfy a high level, rich specification expressed as a linear temporal logic formula. Under the assumption that time-varying rewards are associated…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
In this paper, a quadratic optimal control problem is considered for second-order parabolic PDEs with homogeneous Dirichlet boundary conditions, in which the "point" control function (depending only on time) constitutes a source term. These…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…
We study reinforcement learning for controlled diffusion processes with unbounded continuous state spaces, bounded continuous actions, and polynomially growing rewards: settings that arise naturally in finance, economics, and operations…
We consider the problem of controlling an unknown linear dynamical system in the presence of (nonstochastic) adversarial perturbations and adversarial convex loss functions. In contrast to classical control, the a priori determination of an…
This paper investigates a class of optimal control problems associated with Markov processes with local state information. The decision-maker has only local access to a subset of a state vector information as often encountered in…
Policy optimization has drawn increasing attention in reinforcement learning, particularly in the context of derivative-free methods for linear quadratic regulator (LQR) problems with unknown dynamics. This paper focuses on characterizing…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…