Related papers: Optimal Control with $L^{\infty}$ cost: incorporat…
An optimal control problem with an infinite horizon quadratic cost functional for a linear system with a known additive disturbance is considered. The feature of this problem is that a weight matrix of the control cost in the cost…
Computational constraints permeate the controller design process, and yet are rarely treated as explicit design constraints. Towards addressing this gap, we propose a quantitative framework that captures the effects of common design…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
In various physical implementations of quantum information processing, qubits are realized in a Lambda type system configuration as two stable lower energy levels coupled indirectly via an unstable higher energy level, that is, in…
We present a method for finding optimal controllers for unknown, time-varying, dynamic systems which can be re-initialized from a given initial condition repeatedly, in which the performance measure is available for sampling with noise, but…
Discrete-time robust optimal control problems generally take a min-max structure over continuous variable spaces, which can be difficult to solve in practice. In this paper, we extend the class of such problems that can be solved through a…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
A system manager makes dynamic pricing and dispatch control decisions in a queueing network model motivated by ride-hailing applications. A novel feature of the model is that it incorporates travel times. Unfortunately, this renders the…
This paper introduces a framework for quantitative characterization of the controllability of time-varying linear systems (or networks) in terms of input novelty. The motivation for such an approach comes from the study of biophysical…
We investigate how the concepts of optimal control of measurables of a system with a time dependent Hamiltonian may be mixed with the level set technique to keep the desired entity invariant. We derive sets of equations for this purpose and…
Motivated by few delay-optimal scheduling results, in comparison to results on throughput optimality, we investigate a canonical input-queued switch scheduling problem in which the objective is to minimize the discounted delay cost over an…
The main goals of a switch scheme are high utilization, low queuing delay and fairness. To achieve high utilization the switch scheme can maintain non-zero (small) queues in steady state which can be used if the sources do not have data to…
Congestion pricing has become an effective instrument for traffic demand management on road networks. This paper proposes an optimal control approach for congestion pricing for day-to-day timescale that incorporates demand uncertainty and…
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…
We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover,…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
Probabilistic control design is founded on the principle that a rational agent attempts to match modelled with an arbitrary desired closed-loop system trajectory density. The framework was originally proposed as a tractable alternative to…