Related papers: Numerical Discretization Methods for the Extended …
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…
The first order optimality conditions of optimal control problems (OCPs) can be regarded as boundary value problems for Hamiltonian systems. Variational or symplectic discretisation methods are classically known for their excellent long…
We propose an efficient algorithm for the optimal control problems (OCPs) of nonlinear switched systems that optimizes the control input and switching instants simultaneously for a given switching sequence. We consider the switching…
This paper addresses the problem of steering the distribution of the state of a discrete-time linear system to a given target distribution while minimizing an entropy-regularized cost functional. This problem is called a maximum entropy…
This paper offers a unified perspective on different approaches to the solution of optimal control problems through the lens of constrained sequential quadratic programming. In particular, it allows us to find the relationships between…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
We are interested in high-order linear multistep schemes for time discretization of adjoint equations arising within optimal control problems. First we consider optimal control problems for ordinary differential equations and show loss of…
We study the distributed Linear Quadratic Gaussian (LQG) control problem in discrete-time and finite-horizon, where the controller depends linearly on the history of the outputs and it is required to lie in a given subspace, e.g. to possess…
We present a method to solve fractional optimal control problems, where the dynamic depends on integer and Caputo fractional derivatives. Our approach consists to approximate the initial fractional order problem with a new one that involves…
We consider the integral definition of the fractional Laplacian and analyze a linear-quadratic optimal control problem for the so-called fractional heat equation; control constraints are also considered. We derive existence and uniqueness…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…
Elliptic PDE-constrained optimal control problems with $L^1$-control cost ($L^1$-EOCP) are considered. To solve $L^1$-EOCP, the primal-dual active set (PDAS) method, which is a special semismooth Newton (SSN) method, used to be a priority.…
This article presents a unified approach to quadratic optimal control for both linear and nonlinear discrete-time systems, with a focus on trajectory tracking. The control strategy is based on minimizing a quadratic cost function that…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
In this paper, we formulate a mutual information optimal control problem (MIOCP) for discrete-time linear systems. This problem can be regarded as an extension of a maximum entropy optimal control problem (MEOCP). Differently from the MEOCP…
A method is presented for solving the discrete-time finite-horizon Linear Quadratic Regulator (LQR) problem subject to auxiliary linear equality constraints, such as fixed end-point constraints. The method explicitly determines an affine…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
In this paper, the open-loop, closed-loop, and weak closed-loop solvability for discrete-time linear-quadratic (LQ) control problem is considered due to the fact that it is always open-loop optimal solvable if the LQ control problem is…
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type…