Related papers: Numerical optimal control for delay differential e…
Time delays are ubiquitous in industrial processes, and they must be accounted for when designing control algorithms because they have a significant effect on the process dynamics. Therefore, in this work, we propose a simultaneous approach…
We propose an {\em implementable} numerical scheme for the discretization of linear-quadratic optimal control problems involving SDEs in higher dimensions with {\em control constraint}. For time discretization, we employ the implicit Euler…
This study focuses on the numerical discretization methods for the continuous-time discounted linear-quadratic optimal control problem (LQ-OCP) with time delays. By assuming piecewise constant inputs, we formulate the discrete system…
This paper presents the numerical discretization methods of the continuous-time linear-quadratic optimal control problems (LQ-OCPs) with time delays. We describe the weight matrices of the LQ-OCPs as differential equations systems, allowing…
Discontinuities and delayed terms are encountered in the governing equations of a large class of problems ranging from physics and engineering to medicine and economics. These systems cannot be properly modelled and simulated with standard…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow…
We consider an abstract framework for the numerical solution of optimal control problems (OCPs) subject to partial differential equations (PDEs). Examples include not only the distributed control of elliptic PDEs such as the Poisson…
In this study, we introduce numerical methods for discretizing continuous-time linear-quadratic optimal control problems (LQ-OCPs). The discretization of continuous-time LQ-OCPs is formulated into differential equation systems, and we can…
Optimal Control Problems consist on the optimisation of an objective functional subjected to a set of Ordinary Differential Equations. In this work, we consider the effects on the stability of the numerical solution when this optimisation…
A novel approach to design the feedback control based on past states is proposed for hybrid stochastic differential equations (HSDEs). This new theorem builds up the connection between the delay feedback control and the control function…
- In this paper we introduce a new method to solve fixed-delay optimal control problems which exploits numerical homotopy procedures. It is known that solving this kind of problems via indirect methods is complex and computationally…
Although optimal control problems of dynamical systems can be formulated within the framework of variational calculus, their solution for complex systems is often analytically and computationally intractable. In this Letter we present a…
A discretization of an optimal control problem of a stochastic parabolic equation driven by multiplicative noise is analyzed. The state equation is discretized by the continuous piecewise linear element method in space and by the backward…
The optimal control problem for discrete-time systems with colored multiplicative noise is discussed in this paper. The problem will be more difficult to deal with than the case of white noise due to the correlation of the adjoining state.…
Differential equations (DE) constrained optimization plays a critical role in numerous scientific and engineering fields, including energy systems, aerospace engineering, ecology, and finance, where optimal configurations or control…
Time delays are ubiquitous in industry and nature, and they significantly affect both transient dynamics and stability properties. Consequently, it is often necessary to identify and account for the delays when, e.g., designing a…
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…
In this paper we study stochastic control problems with delayed information, that is, the control at time $t$ can depend only on the information observed before time $t-H$ for some delay parameter $H$. Such delay occurs frequently in…
We consider a numerical approximation of a linear quadratic control problem constrained by the stochastic heat equation with non-homogeneous Neumann boundary conditions. This involves a combination of distributed and boundary control, as…