Related papers: Discrete time stochastic impulse control with dela…
Impulsive control is used to suppress the chaotic behavior in an one-dimensional discrete supply and demand dynamical system. By perturbing periodically the state variable with constant impulses, the chaos can be suppressed. It is proved…
Classical flocking models demonstrate how local interactions generate emergent order, but real-world multi-agent deployments are bound by severe constraints: limited actuator availability, heterogeneous communication latencies, and…
We propose a novel feedback controller for a class of uncertain higher-order nonlinear systems, subject to delays in both state measurement and control input signals. Building on the prescribed performance control framework, a…
We study the problem of finite-time constrained optimal control of unknown stochastic linear time-invariant systems, which is the key ingredient of a predictive control algorithm -- albeit typically having access to a model. We propose a…
This paper is concerned with the adaptive numerical treatment of stochastic partial differential equations. Our method of choice is Rothe's method. We use the implicit Euler scheme for the time discretization. Consequently, in each step, an…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
The paper describes a receding horizon control design framework for continuous-time stochastic nonlinear systems subject to probabilistic state constraints. The intention is to derive solutions that are implementable in real-time on…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
We consider finite horizon reach-avoid problems for discrete time stochastic systems. Our goal is to construct upper bound functions for the reach-avoid probability by means of tractable convex optimization problems. We achieve this by…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
This paper studies impulsive stabilization of nonlinear systems. We propose two types of event-triggering algorithms to update the impulsive control signals with actuation delays. The first algorithm is based on continuous event detection,…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
This paper addresses a new class of optimal control problems for perturbed sweeping processes with measurable controls in additive perturbations of the dynamics and smooth controls in polyhedral moving sets. We develop a constructive…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
This paper considers the discrete-time, stochastic LQR problem with $p$ steps of disturbance preview information where $p$ is finite. We first derive the solution for this problem on a finite horizon with linear, time-varying dynamics and…
This paper investigates the existence of a G-relaxed optimal control of a controlled stochastic differential delay equation driven by G-Brownian motion (G-SDDE in short). First, we show that optimal control of G-SDDE exists for the finite…
We consider an optimal switching problem with random lag and possibility of component failure. The random lag is modeled by letting the operation mode follow a regime switching Markov-model with transition intensities that depend on the…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
This paper is concerned with impulse approximate controllability for stochastic evolution equations with impulse controls. As direct applications, we formulate captivating minimal norm and time optimal control problems; The minimal norm…