Related papers: On Infinite-horizon Minimum Energy Control
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…
This paper investigates the optimal control of a bilinear damped wave equation over an infinite time horizon. We establish the well-posedness of the controlled system and derive uniform energy estimates. The existence of optimal controls is…
This paper characterizes the solution to a finite horizon min-max optimal control problem where the system is linear and discrete-time with control and state constraints, and the cost quadratic; the disturbance is negatively costed, as in…
We examine the problem of two-point boundary optimal control of nonlinear systems over finite-horizon time periods with unknown model dynamics by employing reinforcement learning. We use techniques from singular perturbation theory to…
In the last decades, control problems with infinite horizons and discount factors have become increasingly central not only for economics but also for applications in artificial intelligence and machine learning. The strong links between…
We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…
We consider the infinite horizon risk-sensitive problem for nondegenerate diffusions with a compact action space, and controlled through the drift. We only impose a structural assumption on the running cost function, namely…
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our…
We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…
The aim of the paper is to study an optimal control problem on infinite horizon for an infinite dimensional integro-differential equation with completely monotone kernelskernels, where we assume that the noise enters the system when we…
Necessary optimality conditions in the form of the maximum principle for control problems with infinite time horizon are considered. Both finite and infinite values of objective functional are allowed since the concept of overtaking or…
The famous proof of the Pontryagin maximum principle for control problems on a finite horizon bases on the needle variation technique, as well as the separability concept of cones created by disturbances of the trajectories. In this…
We consider semilinear parabolic optimal control problems subject to Neumann boundary conditions, control constraints, and an infinite time horizon. The control constraints are pointwise in time, but they can be pointwise or integral in the…
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…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
We introduce a numerically stable reformulation of controllability scoring based on a scaled controllability Gramian, which remains reliably computable even for unstable systems. The resulting optimization problems define dynamics-aware…
We consider an impulse control problem in infinite horizon. To solve this problem, we extend to the infinite horizon case results of double barrier reflected backward stochastic differential equations. The properties of the Snell envelope…