Related papers: Continuous-Time Dynamic Decision Making with Costl…
A learning-based safety filter is developed for discrete-time linear time-invariant systems with unknown models subject to Gaussian noises with unknown covariance. Safety is characterized using polytopic constraints on the states and…
We study the problem of optimal state-feedback tracking control for unknown discrete-time deterministic systems with input constraints. To handle input constraints, state-of-art methods utilize a certain nonquadratic stage cost function,…
A decision maker's utility depends on her action $a\in A \subset \mathbb{R}^d$ and the payoff relevant state of the world $\theta\in \Theta$. One can define the value of acquiring new information as the difference between the maximum…
We present an alternative view for the study of optimal control of partially observed Markov Decision Processes (POMDPs). We first revisit the traditional (and by now standard) separated-design method of reducing the problem to fully…
This paper is concerned with risk-sensitive performance analysis for linear quantum stochastic systems interacting with external bosonic fields. We consider a cost functional in the form of the exponential moment of the integral of a…
Real-world autonomous systems operate under uncertainty about both their pose and dynamics. Autonomous control systems must simultaneously perform estimation and control tasks to maintain robustness to changing dynamics or modeling errors.…
This paper addresses the joint state estimation and control problems for unknown linear time-invariant systems subject to both process and measurement noise. The aim is to redesign the linear quadratic Gaussian (LQG) controller based solely…
Here we revisit the classic problem of linear quadratic estimation, i.e. estimating the trajectory of a linear dynamical system from noisy measurements. The celebrated Kalman filter gives an optimal estimator when the measurement noise is…
The Inverse Optimal Control (IOC) problem is a structured system identification problem that aims to identify the underlying objective function based on observed optimal trajectories. This provides a data-driven way to model experts'…
We address the problem of continuous-variable quantum phase estimation in the presence of linear disturbance at the Hamiltonian level, by means of Gaussian probe states. In particular we discuss both unitary and random disturbance, by…
In this paper is proposed a novel incremental iterative Gauss-Newton-Markov-Kalman filter method for state estimation of dynamic models given noisy measurements. The mathematical formulation of the proposed filter is based on the…
We consider the problem of minimizing a certainty equivalent of the total or discounted cost over a finite and an infinite time horizon which is generated by a Partially Observable Markov Decision Process (POMDP). The certainty equivalent…
Learning and decision-making in domains with naturally high noise-to-signal ratio, such as Finance or Healthcare, is often challenging, while the stakes are very high. In this paper, we study the problem of learning and acting under a…
We consider the problem of frequency estimation of the periodic signal multiplied by a stationary Gaussian process (Ornstein-Uhlenbeck) and observed in the presence of the white Gaussian noise. We show the consistency and asymptotic…
Data assimilation, consisting in the combination of a dynamical model with a set of noisy and incomplete observations in order to infer the state of a system over time, involves uncertainty in most settings. Building upon an existing…
We consider the Merton problem of optimizing expected power utility of terminal wealth in the case of an unobservable Markov-modulated drift. What makes the model special is that the agent is allowed to purchase costly expert opinions of…
We consider the problem of controlling an unknown linear dynamical system under a stochastic convex cost and full feedback of both the state and cost function. We present a computationally efficient algorithm that attains an optimal…
Here and in a follow-on paper, we consider a simple control problem in which the underlying dynamics depend on a parameter $a$ that is unknown and must be learned. In this paper, we assume that $a$ is bounded, i.e., that $|a| \le…
In this paper, co-states are used to develop a framework that desensitizes the optimal cost. A general formulation for an optimal control problem with fixed final time is considered. The proposed scheme involves elevating the parameters of…
This paper studies a data-driven predictive control for a class of control-affine systems which is subject to uncertainty. With the accessibility to finite sample measurements of the uncertain variables, we aim to find controls which are…