Related papers: Stochastic Omega-Regular Verification and Control …
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
We show that Neural ODEs, an emerging class of time-continuous neural networks, can be verified by solving a set of global-optimization problems. For this purpose, we introduce Stochastic Lagrangian Reachability (SLR), an abstraction-based…
This work introduces novel computational methods for entropic optimal transport (OT) problems under martingale-type conditions. The considered problems include the discrete martingale optimal transport (MOT) problem. Moreover, as the…
We provide certificates for almost sure reachability of continuous-time stochastic systems governed by stochastic differential equations (SDEs). We first show that a standard Euler-Maruyama discretization may fail to preserve almost sure…
Data-driven control of discrete-time and continuous-time systems is of tremendous research interest. In this paper, we explore data-driven optimal control of continuous-time linear systems using input-output data. Based on a density result,…
We consider temporal logic verification of (possibly nonlinear) dynamical systems evolving over continuous state spaces. Our approach combines automata-based verification and the use of so-called barrier certificates. Automata-based…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
We are concerned with a stochastic mean curvature flow of graphs over a periodic domain of any space dimension. We establish existence of martingale solutions which are strong in the PDE sense and study their large-time behavior. Our…
This article considers the stochastic optimal control of discrete-time linear systems subject to (possibly) unbounded stochastic disturbances, hard constraints on the manipulated variables, and joint chance constraints on the states. A…
Stochastic policies (also known as relaxed controls) are widely used in continuous-time reinforcement learning algorithms. However, executing a stochastic policy and evaluating its performance in a continuous-time environment remain open…
In this work, we study verification and synthesis problems for safety specifications over unknown discrete-time stochastic systems. When a model of the system is available, barrier certificates have been successfully applied for ensuring…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
The stochastic gradient descent (SGD) method is a widely used approach for solving stochastic optimization problems, but its convergence is typically slow. Existing variance reduction techniques, such as SAGA, improve convergence by…
This paper proposes to parameterize open loop controls in stochastic optimal control problems via suitable classes of functionals depending on the driver's path signature, a concept adopted from rough path integration theory. We rigorously…
Single-call stochastic extragradient methods, like stochastic past extragradient (SPEG) and stochastic optimistic gradient (SOG), have gained a lot of interest in recent years and are one of the most efficient algorithms for solving…
In this paper, we describe a novel approach for checking safety specifications of a dynamical system with exogenous inputs over infinite time horizon that is guaranteed to terminate in finite time with a conclusive answer. We introduce the…
In this work, we consider solving optimization problems with a stochastic objective and deterministic equality constraints. We propose a Trust-Region Sequential Quadratic Programming method to find both first- and second-order stationary…
In this paper, we investigate an optimal control problem with terminal stochastic linear complementarity constraints (SLCC), and its discrete approximation using the relaxation, the sample average approximation (SAA) and the implicit Euler…
This paper considers stochastic optimization problems for a large class of objective functions, including convex and continuous submodular. Stochastic proximal gradient methods have been widely used to solve such problems; however, their…
We investigate the problem of synthesizing distributionally robust control policies for stochastic systems under safety and reach-avoid specifications. Using a game-theoretical framework, we consider the setting where the probability…