Related papers: Stabilizing Optimal Control for Nonlinear Stochast…
This work considers the optimal covariance steering problem for systems subject to both additive noise and uncertain parameters which may enter multiplicatively with the state and the control. The unknown parameters are modeled as a…
In this contribution, we introduce an efficient method for solving the optimal control problem for an unconstrained nonlinear switched system with an arbitrary cost function. We assume that the sequence of the switching modes are given but…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
This paper addresses the design and analysis of a multivariable gradient-based stochastic extremum-seeking control method for multi-input systems with arbitrary input delays. The approach accommodates systems with distinct time delays…
The increased integration of intermittent and decentralised forms of power production has eroded the stability margins of power grids and made it more challenging to ensure reliable and secure power transmission. Reliable grid operation…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…
The stability analysis of model predictive control schemes without terminal constraints and/or costs has attracted considerable attention during the last years. We pursue a recently proposed approach which can be used to determine a…
Scenario reduction algorithms can be an effective means to provide a tractable description of the uncertainty in optimal control problems. However, they might significantly compromise the performance of the controlled system. In this paper,…
Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…
This paper deals with the problem of covariance stabilization for a class of linear stochastic discrete-time systems in the Stochastic Model Predictive Control (SMPC) framework. The considered systems are affected by independent and…
We study the problem of optimal state-feedback tracking control for unknown discrete-time deterministic systems with input constraints. To handle input constraints, state-of-art methods utilize a certain nonquadratic stage cost function,…
We consider the problem of stabilization of a linear system, under state and control constraints, and subject to bounded disturbances and unknown parameters in the state matrix. First, using a simple least square solution and available…
We consider policy gradient methods for stochastic optimal control problem in continuous time. In particular, we analyze the gradient flow for the control, viewed as a continuous time limit of the policy gradient method. We prove the global…
This work addresses the design of static output feedback control of discrete-time nonlinear systems satisfying a local Lipschitz continuity condition with time-varying uncertainties. The controller has also a guaranteed disturbance…
This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…
This paper describes a new approach to solving some stochastic optimization problems for linear dynamic system with various parametric uncertainties. Proposed approach is based on application of tensor formalism for creation the…