Related papers: Small noise perturbations of stochastic ergodic co…
The goal of this paper is to address finite-horizon minimum variance and covariance steering problems for discrete-time stochastic (Gaussian) linear systems. On the one hand, the minimum variance problem seeks for a control policy that will…
We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solves the equation where the possibly stochastic drift is…
Asymptotic behavior of the three-dimensional stochastic Navier-Stokes equations with Markov switching in additive noises is studied for incompressible fluid flow in a bounded domain in the three-dimensional space. To study such a system, we…
This paper is concerned with a stochastic linear-quadratic optimal control problem with regime switching, random coefficients, and cone control constraint. The randomness of the coefficients comes from two aspects: the Brownian motion and…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
We consider the problem of electronic quantum transport through ballistic mesoscopic systems with chaotic dynamics, connected to a three-terminal architecture in which one of the terminals has a tunnel barrier. Using a semiclassical…
We derive error estimates for a linear-quadratic elliptic distributed optimal control problem with pointwise control constraints that can be applied to standard finite element methods and multiscale finite element methods.
In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and maximization problems under either a blanket stability…
This article provides quasi-optimal a priori error estimates for an optimal control problem constrained by an elliptic obstacle problem where the finite element discretization is carried out using the symmetric interior penalty…
The ergodic spectral efficiency (SE) in interference-limited multiple-input multiple-output (MIMO) downlink cellular systems is characterized based on stochastic geometry. A single user is served by using singular value decomposition…
In this paper, we consider the problem of steering a family of independent, structurally identical, finite-dimensional stochastic linear systems with variation in system parameters between initial and target states of interest by using an…
Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…
Stochastic optimization is a vital field in the realm of mathematical optimization, finding applications in diverse areas ranging from operations research to machine learning. In this paper, we introduce a novel first-order optimization…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
This article presents a novel class of control policies for networked control of Lyapunov-stable linear systems with bounded inputs. The control channel is assumed to have i.i.d. Bernoulli packet dropouts and the system is assumed to be…
We study a model of the motion by mean curvature of an (1+1) dimensional interface in a 2D Brownian velocity field. For the well-posedness of the model we prove existence and uniqueness for certain degenerate nonlinear stochastic evolution…
Optimal control of the singular nonlinear parabolic PDE which is a distributional formulation of multidimensional and multiphase Stefan-type free boundary problem is analyzed. Approximating sequence of finite-dimensional optimal control…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
In this work, we will investigate the question of optimal control for bilinear systems with constrained endpoint. The optimal control will be characterized through a set of unconstrained minimization problems that approximate the former.…
We study the problem of \textit{safe control of linear dynamical systems corrupted with non-stochastic noise}, and provide an algorithm that guarantees (i) zero constraint violation of convex time-varying constraints, and (ii) bounded…