Related papers: Stochastic Production Planning in Manufacturing Sy…
We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…
We derive the expression for the entropy production for stochastic dynamics defined on a continuous space of states containing unidirectional transitions. The expression is derived by taking the continuous limit of a stochastic dynamics on…
This paper deals with shape optimization for elastic materials under stochastic loads. It transfers the paradigm of stochastic dominance, which allows for flexible risk aversion via comparison with benchmark random variables, from…
We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study the regularity of the value function for such a control…
When analysing statistical systems or stochastic processes, it is often interesting to ask how they behave given that some observable takes some prescribed value. This conditioning problem is well understood within the linear operator…
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
We formulate the loop-free, binary superoptimization task as a stochastic search problem. The competing constraints of transformation correctness and performance improvement are encoded as terms in a cost function, and a Markov Chain Monte…
Hydrogen can be produced from water, using electricity. The hydrogen can subsequently be kept in inventory in large quantities, unlike the electricity itself. This enables solar and wind energy generation to occur asynchronously from its…
Efficient performance of a number of engineering systems is achieved through different modes of operation - yielding systems described as "hybrid", containing both real-valued and discrete decision variables. Prominent examples of such…
As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…
We develop a partial Hamiltonian framework to obtain reductions and closed-form solutions via first integrals of current value Hamiltonian systems of ordinary differential equations (ODEs). The approach is algorithmic and applies to many…
The problem of real-time control and optimization of components' routing in discrete manufacturing plants, where distinct items must undergo a sequence of jobs, is considered. This problem features a large number of discrete control inputs…
High-tech systems are typically produced in two stages: 1) Production of components using specialized equipment and staff; 2) System assembly/integration. Component production capacity is subject to fluctuations, causing a high risk of…
It is argued that a Gibbsian formula for the space-time distribution of microscopic trajectories of a nonequilibrium system provides a unifying framework for recent results on the fluctuations of the entropy production. The variable entropy…
We establish a collection of closed-loop guarantees and propose a scalable optimization algorithm for distributionally robust model predictive control (DRMPC) applied to linear systems, convex constraints, and quadratic costs. Via standard…
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…
In the present work we formally extend the theory of port-Hamiltonian systems to include random perturbations. In particular, suitably choosing the space of flow and effort variables we will show how several elements coming from possibly…
We study feedback motion planning for continuous-time stochastic nonlinear systems under signal temporal logic (STL) specifications. We propose a framework that synthesizes control policies for chance-constrained STL trajectory optimization…
We consider a stochastic optimal control problem where the controller can anticipate the evolution of the driving noise over some dynamically changing time window. The controlled state dynamics are understood as a rough differential…