Related papers: Small noise perturbations of stochastic ergodic co…
While many techniques have been developed for chance constrained stochastic optimal control with Gaussian disturbance processes, far less is known about computationally efficient methods to handle non-Gaussian processes. In this paper, we…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…
We study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at jump times of independent Poisson process. Under relatively weak…
In this paper, we present a multilevel Monte Carlo (MLMC) version of the Stochastic Gradient (SG) method for optimization under uncertainty, in order to tackle Optimal Control Problems (OCP) where the constraints are described in the form…
We study ergodic properties of a family of traffic maps acting in the space of bi-infinite sequences of real numbers. The corresponding dynamics mimics the motion of vehicles in a simple traffic flow, which explains the name. Using…
In this paper we study a class of combined regular and singular stochastic control problems that can be expressed as constrained BSDEs. In the Markovian case, this reduces to a characterization through a PDE with gradient constraint. But…
In this paper we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The noise can be continuous or it may contain jumps. Additive…
We consider a control-constrained parabolic optimal control problem without Tikhonov term in the tracking functional. For the numerical treatment, we use variational discretization of its Tikhonov regularization: For the state and the…
The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider an extension of the optimal Skorokhod…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
We study the asymptotic behavior of solutions to linear-quadratic mean field stochastic optimal control problems. By formulating an ergodic control framework, we characterize the convergence between the finite time horizon control problem…
In this paper, we address the problem of closed-loop control of nonlinear dynamical systems subjected to probabilistic uncertainties. More precisely, we design time-varying polynomial feedback controllers to follow the given nominal…
In this paper, we extend the results of Elliott and Yang \cite{elliott3} and discuss the control of a stochastic process for which the driving noise is provided by a martingale associated with a semi-Markov Chain. An existence and a…
Optimal sensor scheduling with applications to networked estimation and control systems is considered. We model sensor measurement and transmission instances using jumps between states of a continuous-time Markov chain. We introduce a cost…
Sparse auto-encoders are useful for extracting low-dimensional representations from high-dimensional data. However, their performance degrades sharply when the input noise at test time differs from the noise employed during training. This…
Motivated by emerging applications in machine learning, we consider an optimization problem in a general form where the gradient of the objective function is available through a biased stochastic oracle. We assume a bias-control parameter…
In this paper, we consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. The…
The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In…
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems with random periodic coefficients. We put forward the random periodic mean-square exponentially stable condition, and prove the random…