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We solve a linear quadratic optimal control problem for sampled-data systems with stochastic delays. The delays are stochastically determined by the last few delays. The proposed optimal controller can be efficiently computed by iteratively…
We solve the problem of stabilization of a class of linear first-order hyperbolic systems featuring n rightward convecting transport PDEs and m leftward convecting transport PDEs. Using the backstepping approach yields solutions to…
This paper studies the partially observed stochastic optimal control problem for systems with state dynamics governed by partial differential equations (PDEs) that leads to an extremely large problem. First, an open-loop deterministic…
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a preliminary stochastic maximum principle to analyze the unique…
Time delays are ubiquitous in industry, and they must be accounted for when designing control strategies. However, numerical optimal control (NOC) of delay differential equations (DDEs) is challenging because it requires specialized…
The paper deals with the control and regulation by integral controllers forthe nonlinear systems governed by scalar quasi-linear hyperbolic partial differentialequations. Both the control input and the measured output are located on the…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficients. The optimality system, which is a linear mean-field…
This paper explores a fully discrete approximation for a nonlinear hyperbolic PDE-constrained optimization problem (P) with applications in acoustic full waveform inversion. The optimization problem is primarily complicated by the…
We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity…
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…
We solve the optimal control problem of a one-dimensional reflected stochastic differential equation, whose coefficients can be path dependent. The value function of this problem is characterized by a backward stochastic partial…
We develop a novel multi-layer predictor-feedback to achieve exact compensation of state-dependent input delay of general nonlinear integro-differential equations. The system of interest is an unconventional mixed Partial Differential…
In this article, we introduce a system of stochastic differential equations (SDEs) consisting of time-dependent covariates and consider both fixed and random effects set-ups. We also allow the functional part associated with the drift…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
This paper presents scalable controller synthesis methods for heterogeneous and partially heterogeneous systems. First, heterogeneous systems composed of different subsystems that are interconnected over a directed graph are considered.…
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process $X(t)$ and a \emph{predictive…
In this paper, we introduce a novel approach to solve the (mean-covariance) steering problem for a fairly general class of linear continuous-time stochastic systems subject to input delays. Specifically, we aim at steering delayed linear…
In this paper, we discuss the distributed control problem governed by the following parabolic integro-differential equation (PIDE) in the abstract form \begin{eqnarray*} \frac{\partial y}{\partial t} + A y &=& \int_0^t B(t, s) y(s) ds + Gu,…
In this paper, we address the robustness of parabolic-elliptic systems under boundary control. A sliding mode control strategy is proposed to reject matched perturbations. The stability analysis establishes finite-time convergence of the…