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In this paper a novel stochastic optimization and extremum seeking algorithm is presented, one which is based on time-delayed random perturbations and step size adaptation. For the case of a one-dimensional quadratic unconstrained…
We consider a class of optimal control problems of stochastic delay differential equations (SDDE) that arise in connection with optimal advertising under uncertainty for the introduction of a new product to the market, generalizing…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
In this paper, we develop a provably correct optimal control strategy for a finite deterministic transition system. By assuming that penalties with known probabilities of occurrence and dynamics can be sensed locally at the states of the…
This paper presents a continuous-time optimal control framework for the generation of reference trajectories in driving scenarios with uncertainty. A previous work presented a discrete-time stochastic generator for autonomous vehicles;…
Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to calculate in practice. A more general class…
This paper investigates the solvability and optimal control of a class of impulsive stochastic differential equations (SDEs) within a Hilbert space setting. First, we establish the existence and uniqueness of mild solutions for the proposed…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
Deciding the best future execution time is a critical task in many business activities while evolving time series forecasting, and optimal timing strategy provides such a solution, which is driven by observed data. This solution has plenty…
The $n$-step delayed sharing information structure is investigated. This information structure comprises of $K$ controllers that share their information with a delay of $n$ time steps. This information structure is a link between the…
We investigate a control technique for spatially extended systems combining spatial filtering with a previously studied form of time-delay feedback. The scheme is naturally suited to real-time control of optical systems. We apply the…
This article deals with variational optimal-control problems on time scales in the presence of delay in the state variables. The problem is considered on a time scale unifying the discrete, the continuous and the quantum cases. Two examples…
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…
We consider a simple control problem in which the underlying dynamics depend on a parameter that is unknown and must be learned. We exhibit a control strategy which is optimal to within a multiplicative constant. While most authors find…
We consider the optimal control problem of a general nonlinear spatio-temporal system described by Partial Differential Equations (PDEs). Theory and algorithms for control of spatio-temporal systems are of rising interest among the…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = $\alpha$ t--d (bdt + $\sigma$dW t). We provide a new characterization of the solution in terms of a set of Riccati…
In this paper, we propose a stochastic scheduling strategy for estimating the states of N discrete-time linear time invariant (DTLTI) dynamic systems, where only one system can be observed by the sensor at each time instant due to practical…
In this paper, an abstract framework for the error analysis of discontinuous finite element method is developed for the distributed and Neumann boundary control problems governed by the stationary Stokes equation with control constraints.…
This work focuses on the well-posedness of abstract stochastic linear systems with boundary input delay and unbounded observation operators. We use product spaces and a semigroup approach to reformulate such delay systems into free-delay…