Related papers: Vector-valued robust stochastic control

Deterministic model predictive control (MPC), while powerful, is often insufficient for effectively controlling autonomous systems in the real-world. Factors such as environmental noise and model error can cause deviations from the expected…

This paper proposes a statistically optimal approach for learning a function value using a confidence interval in a wide range of models, including general non-parametric estimation of an expected loss described as a stochastic programming…

We study the properties of the value function associated with an optimal control problem with uncertainties, known as average or Riemann-Stieltjes problem. Uncertainties are assumed to belong to a compact metric probability space, and…

In this paper we consider an intrinsic point of view to describe the equations of motion for higher-order variational problems with constraints on higher-order trivial principal bundles. Our techniques are an adaptation of the classical…

This paper explores the fundamental limits of a simple system, inspired by the intermittent Kalman filtering model, where the actuation direction is drawn uniformly from the unit hypersphere. The model allows us to focus on a fundamental…

Robust Optimization has traditionally taken a pessimistic, or worst-case viewpoint of uncertainty which is motivated by a desire to find sets of optimal policies that maintain feasibility under a variety of operating conditions. In this…

We study a multiscale stochastic optimal control problem subject to state constraints on the slow variable. To address this class of problems, we develop a rigorous theoretical framework based on singular perturbation analysis, tailored to…

Recent focus on robustness to adversarial attacks for deep neural networks produced a large variety of algorithms for training robust models. Most of the effective algorithms involve solving the min-max optimization problem for training…

We consider large-scale Markov decision processes (MDPs) with parameter uncertainty, under the robust MDP paradigm. Previous studies showed that robust MDPs, based on a minimax approach to handle uncertainty, can be solved using dynamic…

We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of…

We consider the Chance Constrained Model Predictive Control problem for polynomial systems subject to disturbances. In this problem, we aim at finding optimal control input for given disturbed dynamical system to minimize a given cost…

In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…

We present a novel class of minimax optimal control problems with positive dynamics, linear objective function and homogeneous constraints. The proposed problem class can be analyzed with dynamic programming and an explicit solution to the…

We propose a robust data-driven output feedback control algorithm that explicitly incorporates inherent finite-sample model estimate uncertainties into the control design. The algorithm has three components: (1) a subspace identification…

We consider vector and set optimization problems with respect to variable domination structures given by set-valued mappings acting between the preimage space and the image space of the objective mapping, as well as by set-valued mappings…

Without exact knowledge of the true system dynamics, optimal control of non-linear continuous-time systems requires careful treatment under epistemic uncertainty. In this work, we translate a probabilistic interpretation of the Pontryagin…

This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our framework can accommodate running MV objectives with general…

We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…

This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…

This survey presents recent research on determining control-theoretic properties and designing controllers with rigorous guarantees using semidefinite programming and for nonlinear systems for which no mathematical models but measured…