Related papers: Optimal state estimation: Turnpike analysis and pe…
We discuss the turnpike property for optimal investment and consumption problems. We find there exists a threshold value that determines the turnpike property for investment policy. The threshold value only depends on the Sharpe ratio, the…
We propose a sampling-based trajectory optimization methodology for constrained problems. We extend recent works on stochastic search to deal with box control constraints,as well as nonlinear state constraints for discrete dynamical…
This note discusses properties of parametric discrete-time Mixed-Integer Optimal Control Problems (MIOCPs) as they often arise in mixed-integer NMPC. We argue that in want for a handle on similarity properties of parametric MIOCPs the…
We revisit finite-dimensional linear-quadratic optimal control from the viewpoint of differential flatness. If the pair (A, B) is controllable, then the linear control system is flat, and every trajectory can be parametrized by a flat…
We introduce an alternative approach for the analysis and numerical approximation of the optimal feedback control mapping. It consists in looking at a typical optimal control problem in such a way that feasible controls are mappings…
Motivated by singular limits for long-time optimal control problems, we investigate a class of parameter-dependent parabolic equations. First, we prove a turnpike result, uniform with respect to the parameters within a suitable regularity…
Infinite horizon optimization problems accompany two perplexities. First, the infinite series of utility sequences may diverge. Second, boundary conditions at the infinite terminal time may not be rigorously expressed. In this paper, we…
The paper provides a new approach to the determination of a single state value for stochastic output feedback problems using paradigms from Model Predictive Control, particularly the distinction between open-loop and closed-loop control and…
In this paper, we consider a linear quadratic (LQ) optimal control problem in both finite and infinite dimensions. We derive an asymptotic expansion of the value function as the fixed time horizon T tends to infinity. The leading term in…
This paper studies an optimization-based state estimation approach for discrete-time nonlinear systems under bounded process and measurement disturbances. We first introduce a full information estimator (FIE), which is given as a solution…
The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable…
This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…
This paper analyzes the use of variable speed limits to optimize travel time reliability for commuters. The investigation focuses on a traffic corridor with a bottleneck subject to the capacity drop phenomenon. The optimization criterion is…
We consider irreversible and coupled reversible-irreversible nonlinear port-Hamiltonian systems and the respective sets of thermodynamic equilibria. In particular, we are concerned with optimal state transitions and output stabilization on…
In this manuscript, we study the turnpike property in stochastic discrete-time optimal control problems for interacting agents. Extending previous deterministic results, we show that the turnpike effect persists in the presence of noise…
Developing a contemporary optimal transport (OT) solver requires navigating trade-offs among several critical requirements: GPU parallelization, scalability to high-dimensional problems, theoretical convergence guarantees, empirical…
We consider the singular optimal control problem of minimizing the energy supply of linear dissipative port-Hamiltonian descriptor systems subject to control and terminal state constraints. To this end, after reducing the problem to an ODE…
In this paper, we consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. The…
Within Bayesian state estimation, considerable effort has been devoted to incorporating constraints into state estimation for process optimization, state monitoring, fault detection and control. Nonetheless, in the domain of state-space…
Empirical observations and theoretical studies indicate that the overall travel-time of vehicles in a traffic network can be optimized by means of ramp metering control systems. Here, we present an analysis of traffic data of the highway…