Related papers: Optimal Control with $L^{\infty}$ cost: incorporat…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
In this chapter, we are concerned with inverse optimal control problems, i.e., optimization models which are used to identify parameters in optimal control problems from given measurements. Here, we focus on linear-quadratic optimal control…
The control of large queueing networks is a notoriously difficult problem. Recently, an interesting new policy design framework for the control problem called h-MaxWeight has been proposed: h-MaxWeight is a natural generalization of the…
We consider nonlinear optimal control problems (OCPs) for which all problem data are polynomial. In the first part of the paper, we review how occupation measures can be used to approximate pointwise the optimal value function of a given…
Inactive constraints do not contribute to the solution of an optimal control problem, but increase the problem size and burden the numerical computations. We present a novel strategy for handling inactive constraints efficiently by…
To address system frequency challenges driven by the integration of renewable generation, advanced control strategies are designed at the device level to provide effective frequency support following disturbances. However, typically relying…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
We address a single server queue control problem (QCP) in heavy traffic originating from Lee and Weerasinghe (2011). The state process represents the offered waiting time, the customer arrival has a state-dependent intensity, and the…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
The paper aims at the development of tools for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems with long run average optimality criteria. The idea that we exploit is to first…
We study a class of singular stochastic control problems for a one-dimensional diffusion $X$ in which the performance criterion to be optimised depends explicitly on the running infimum $I$ (or supremum $S$) of the controlled process. We…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
The field of optimal control typically requires the assumption of perfect knowledge of the system one desires to control, which is an unrealistic assumption for biological systems, or networks, typically affected by high levels of…
Motivated by applications in online marketplaces such as ride-hailing platforms and payment channel networks, we study a single-server queue with state-dependent arrival control. The service operator dynamically chooses the arrival rate as…
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…
This paper presents a controller design framework aiming to balance control performance and actuation rate. Control performance is evaluated by an infinite-horizon average cost, and the number of control actions is penalized via…
When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…
Most modern control systems are switched, meaning they have continuous as well as discrete decision variables. Switched systems often have constraints called dwell-time constraints (e.g., cycling constraints in a heat pump) on the switching…
Networked control strategies based on limited information about the plant model usually results in worse closed-loop performance than optimal centralized control with full plant model information. Recently, this fact has been established by…