Related papers: Finite-Horizon Discrete-Time Optimal Control for N…
This paper investigates the optimal control problem for a class of nonlinear fully coupled forward-backward stochastic difference equations (FBS$\Delta$Es). Under the convexity assumption of the control domain, we establish a variational…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…
In this work, solution of the finite horizon hybrid optimal control problem as the central element of the receding horizon optimal control (model predictive control) is investigated based on the indirect approach. The response of a hybrid…
We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The algorithm has three features: (1) It can solve…
In this paper we consider the problem of the optimal control of an ensemble of affine-control systems. After proving the well-posedness of the minimization problem under examination, we establish a $\Gamma$-convergence result that allows us…
A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique,…
In this paper, we propose a new methodology for state constrained stochastic optimal control (SOC) problems. The solution is based on past work in solving SOC problems using forward-backward stochastic differential equations (FBSDE). Our…
The optimal control input for linear systems can be solved from algebraic Riccati equation (ARE), from which it remains questionable to get the form of the exact solution. In engineering, the acceptable numerical solutions of ARE can be…
The mathematical framework of hybrid system is a recent and general tool to treat control systems involving control action of heterogeneous nature. In this paper, we construct and test a semi-Lagrangian numerical scheme for solving the…
We consider a finite-horizon linear-quadratic optimal control problem where only a limited number of control messages are allowed for sending from the controller to the actuator. To restrict the number of control actions computed and…
In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…
This work investigates an elliptic optimal control problem defined on uncertain domains and discretized by a fictitious domain finite element method and cut elements. Key ingredients of the study are to manage cases considering the usually…
We introduce a new numerical method to approximate the solution of a finite horizon deterministic optimal control problem. We exploit two Hamilton-Jacobi-Bellman PDE, arising by considering the dynamics in forward and backward time. This…
The inverse linear-quadratic optimal control problem is a system identification problem whose aim is to recover the quadratic cost function and hence the closed-loop system matrices based on observations of optimal trajectories. In this…
This paper studies an infinite horizon optimal control problem for discrete-time linear system and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. In this general…
In this work, we consider optimal control problems for mechanical systems on vector spaces with fixed initial and free final state and a quadratic Lagrange term. Specifically, the dynamics is described by a second order ODE containing an…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for…
This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) framework to encompass nonlinear system dynamics and…
This paper presents a physics-informed machine learning approach for synthesizing optimal feedback control policy for infinite-horizon optimal control problems by solving the Hamilton-Jacobi-Bellman (HJB) partial differential equation(PDE).…