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We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and…
This paper is concerned with the linear quadratic (LQ) optimal control of continuous-time system with terminal state constraint. In particular, multiple agents exist in the system which can only access partial information of the matrix…
This paper presents a pioneering approach to solving the linear quadratic regulation (LQR) and linear quadratic tracking (LQT) problems with constrained inputs using a novel off-policy continuous-time Q-learning framework. The proposed…
Quantization of the parameters of machine learning models, such as deep neural networks, requires solving constrained optimization problems, where the constraint set is formed by the Cartesian product of many simple discrete sets. For such…
The goal of this paper is to study a multi-objective linear quadratic Gaussian (LQG) control problem. In particular, we consider an optimal control problem minimizing a quadratic cost over a finite time horizon for linear stochastic systems…
We study the costs and benefits of different quantum approaches to finding approximate solutions of constrained combinatorial optimization problems with a focus on Maximum Independent Set. In the Lagrange multiplier approach we analyze the…
In this paper, we propose an algorithmic framework, dubbed inertial alternating direction methods of multipliers (iADMM), for solving a class of nonconvex nonsmooth multiblock composite optimization problems with linear constraints. Our…
The purpose of this paper is to study the mixed linear quadratic Gaussian (LQG) and $H_\infty$ optimal control problem for linear quantum stochastic systems, where the controller itself is also a quantum system, often referred to as…
We study the performance of the certainty equivalent controller on Linear Quadratic (LQ) control problems with unknown transition dynamics. We show that for both the fully and partially observed settings, the sub-optimality gap between the…
The alternating direction method of multipliers (ADMM) has emerged as a powerful technique for large-scale structured optimization. Despite many recent results on the convergence properties of ADMM, a quantitative characterization of the…
The idea of embedding optimization problems into deep neural networks as optimization layers to encode constraints and inductive priors has taken hold in recent years. Most existing methods focus on implicitly differentiating…
Linear quadratic Gaussian (LQG) control is a well-established method for optimal control through state estimation, particularly in stabilizing an inverted pendulum on a cart. In standard laboratory setups, sensor redundancy enables direct…
In this paper we address the actuator/sensor allocation problem for linear time invariant (LTI) systems. Given the structure of an autonomous linear dynamical system, the goal is to design the structure of the input matrix (commonly denoted…
The distributed optimal synchronization problem with linear quadratic cost is solved in this paper for multi-agent systems with an undirected communication topology. For the first time, the optimal synchronization problem is formulated as a…
Quadrotors are indispensable in civilian, industrial, and military domains, undertaking complex, high-precision tasks once reserved for specialized systems. Across all contexts, energy efficiency remains a critical constraint: quadrotors…
This paper aims to present a fairly accessible generalization of several symmetric Gauss-Seidel decomposition based multi-block proximal alternating direction methods of multipliers (ADMMs) for convex composite optimization problems. The…
We propose a distributed optimization method for solving a distributed model predictive consensus problem. The goal is to design a distributed controller for a network of dynamical systems to optimize a coupled objective function while…
We present a novel framework, namely AADMM, for acceleration of linearized alternating direction method of multipliers (ADMM). The basic idea of AADMM is to incorporate a multi-step acceleration scheme into linearized ADMM. We demonstrate…
We consider the problem of finding optimal time-periodic sensor schedules for estimating the state of discrete-time dynamical systems. We assume that {multiple} sensors have been deployed and that the sensors are subject to resource…
We consider the problem of sensor selection for designing observer and filter for continuous linear time invariant systems such that the sensor precisions are minimized, and the estimation errors are bounded by the prescribed…