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Many problems of systems control theory boil down to solving polynomial equations, polynomial inequalities or polyomial differential equations. Recent advances in convex optimization and real algebraic geometry can be combined to generate…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic…
There is a rising interest in Spatio-temporal systems described by Partial Differential Equations (PDEs) among the control community. Not only are these systems challenging to control, but the sizing and placement of their actuation is an…
This paper studies the stochastic optimal control problem for systems with unknown dynamics. A novel decoupled data based control (D2C) approach is proposed, which solves the problem in a decoupled "open loop-closed loop" fashion that is…
We consider the optimal control of a PDE with random source term subject to probabilistic or almost sure state constraints. In the main theoretical result, we provide an exact formula for the Clarke subdifferential of the probability…
This work discusses the finite element discretization of an optimal control problem for the linear wave equation with time-dependent controls of bounded variation. The main focus lies on the convergence analysis of the discretization…
This paper studies the linear-quadratic (LQ) optimal control problem of a class of systems governed by the first-order hyperbolic partial differential equations (PDEs) with final state constraints. The main contribution is to present the…
This paper studies a continuous-time stochastic linear-quadratic (SLQ) optimal control problem on infinite-horizon. A data-driven policy iteration algorithm is proposed to solve the SLQ problem. Without knowing three system coefficient…
We present a combination technique based on mixed differences of both spatial approximations and quadrature formulae for the stochastic variables to solve efficiently a class of Optimal Control Problems (OCPs) constrained by random partial…
A general and new stochastic linear quadratic optimal control problem is studied, where the coefficients are allowed to be time-varying, and both state delay and control delay can appear simultaneously in the state equation and the cost…
It is a longstanding unsolved problem to characterize the optimal feedbacks for general SLQs (i.e., stochastic linear quadratic control problems) with random coefficients in infinite dimensions; while the same problem but in finite…
This paper investigates zero-sum stochastic linear quadratic (SLQ) differential games with Markovian jumps. Open-loop and closed-loop solvabilities are studied by employing a new ``decomposition method", which decomposes the open-loop and…
This work presents a convex-optimization-based framework for analysis and control of nonlinear partial differential equations. The approach uses a particular weak embedding of the nonlinear PDE, resulting in a linear equation in the space…
We propose a time-implicit, finite-element based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control problem with the stochastic heat equation driven by linear…
This paper aims to investigate the numerical approximation of a general second order parabolic stochastic partial differential equation(SPDE) driven by multiplicative and additive noise. Our main interest is on such SPDEs where the…
We consider a pointwise tracking optimal control problem for a semilinear elliptic partial differential equation. We derive the existence of optimal solutions and analyze first and, necessary and sufficient, second order optimality…
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 paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems with random periodic coefficients. We put forward the random periodic mean-square exponentially stable condition, and prove the random…
The Sequential Linear Quadratic (SLQ) algorithm is a continuous-time variant of the well-known Differential Dynamic Programming (DDP) technique with a Gauss-Newton Hessian approximation. This family of methods has gained popularity in the…