Related papers: An Optimal Solution to Infinite Horizon Nonholonom…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
In this work, solution of the finite horizon hybrid optimal control problem as the central element of the receding horizon optimal control (model predictive control) is investigated based on the indirect approach. The response of a hybrid…
We present a novel technique to drive a nonlinear system to reach a target state under input constraints. The proposed controller consists only of piecewise constant inputs, generated from a simple linear driftless approximation to the…
In many applications of optimal control, the stage cost is not fixed, but rather a design choice with considerable impact on the control performance. In infinite horizon optimal control, the choice of stage cost is often restricted by the…
The present work is concerned with the stabilization of a general class of time-varying linear parabolic equations by means of a finite-dimensional receding horizon control (RHC). The stability and suboptimality of the unconstrained…
Infinite horizon optimization problems accompany two perplexities. First, the infinite series of utility sequences may diverge. Second, boundary conditions at the infinite terminal time may not be rigorously expressed. In this paper, we…
Jointly optimal transmission power control and remote estimation over an infinite horizon is studied. A sensor observes a dynamic process and sends its observations to a remote estimator over a wireless fading channel characterized by a…
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 revisit the linear programming approach to deterministic, continuous time, infinite horizon discounted optimal control problems. In the first part, we relax the original problem to an infinite-dimensional linear program over a measure…
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…
For nonlinear discrete time systems satisfying a controllability condition, we present a stability condition for model predictive control without stabilizing terminal constraints or costs. The condition is given in terms of an analytical…
We consider the infinite horizon risk-sensitive problem for nondegenerate diffusions with a compact action space, and controlled through the drift. We only impose a structural assumption on the running cost function, namely…
We consider a stochastic linear system and address the design of a finite horizon control policy that is optimal according to some average cost criterion and accounts also for probabilistic constraints on both the input and state variables.…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
This paper proposes a method to compute lower performance bounds for discrete-time infinite-horizon min-max control problems with input constraints and bounded disturbances. Such bounds can be used as a performance metric for control…
This paper is concerned with the design of optimal control for finite-dimensional control-affine nonlinear dynamical systems. We introduce an optimal control problem that specifically optimizes nonlinear observability in addition to…