Related papers: Numerical Methods for Optimal Control Problems wit…
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilibrium solution, which consists of two parts: a…
This paper investigates the central role played by the Hamiltonian in continuous-time nonlinear optimal control problems. We show that the strict convexity of the Hamiltonian in the control variable is a sufficient condition for the…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
We study in this paper the linear quadratic optimal control (linear quadratic regulation, LQR for short) for discrete-time complex-valued linear systems, which have shown to have several potential applications in control theory. Firstly, an…
Optimal control for switch-based dynamical systems is a challenging problem in the process control literature. In this study, we model these systems as hybrid dynamical systems with finite number of unknown switching points and reformulate…
This paper presents a sample-efficient, data-driven control framework for finite-horizon linear quadratic (LQ) control of linear time-varying (LTV) systems. In contrast to the time-invariant case, the time-varying LQ problem involves a…
We consider a linear-quadratic optimization problem with pointwise bounds on the state for which the constraint is given by the Laplace-Beltrami equation (to have uniqueness we add an lower order term) on a two-dimensional surface . By…
In this paper, our goal is to study fundamental foundations of linear quadratic Gaussian (LQG) control problems for stochastic linear time-invariant systems via Lagrangian duality of semidefinite programming (SDP) problems. In particular,…
In this paper, a local-global model reduction method is presented to solve stochastic optimal control problems governed by partial differential equations (PDEs). If the optimal control problems involve uncertainty, we need to use a few…
A linear-quadratic optimal control problem for a forward stochastic Volterra integral equation (FSVIE, for short) is considered. Under the usual convexity conditions, open-loop optimal control exists, which can be characterized by the…
In this paper, we study the linear quadratic (LQ) optimal control problem of linear systems with private input and measurement information. The main challenging lies in the unavailability of other regulators' historical input information.…
We present a direct numerical method for the solution of an optimal control problem controlling the growth of LDL, HDL and plaque. The optimal control problem is constrained with a system of coupled nonlinear free and mixed boundary partial…
Optimal control of the singular nonlinear parabolic PDE which is a distributional formulation of multidimensional and multiphase Stefan-type free boundary problem is analyzed. Approximating sequence of finite-dimensional optimal control…
We propose and analyze a new discretization technique for a linear-quadratic optimal control problem involving the fractional powers of a symmetric and uniformly elliptic second oder operator; control constraints are considered. Since these…
This paper presents a convex optimization-based solution to the design of state-feedback controllers for solving the linear quadratic regulator (LQR) problem of uncertain discrete-time systems with multiplicative noise. To synthesize a…
This paper presents a methodology for using varying sample sizes in sequential quadratic programming (SQP) methods for solving equality constrained stochastic optimization problems. The first part of the paper deals with the delicate issue…
This paper is concerned with the linear quadratic (LQ) optimal control of continuous-time system with terminal state constraint. In particular, multiple agents exist in the system which can only access partial information of the matrix…
This paper aims to investigate the asymptotic error distribution of several numerical methods for stochastic partial differential equations (SPDEs) with multiplicative noise. Firstly, we give the limit distribution of the normalized error…
In this paper, we study probabilistic numerical methods based on optimal quantization algorithms for computing the solution to optimal multiple switching problems with regime-dependent state process. We first consider a discrete-time…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…