Related papers: Approximation of risk-averse optimal feedback cont…
This paper addresses the mean-square optimal control problem for \a class of discrete-time linear systems with a quasi-colored control-dependent multiplicative noise via output feedback. The noise under study is novel and shown to have…
We consider a pointwise tracking optimal control problem for a semilinear elliptic partial differential equation. We derive the existence of optimal solutions and analyze first and, necessary and sufficient, second order optimality…
This paper studies optimal consensus tracking problem of heterogeneous linear multi-agent systems. By introducing tracking error dynamics, the optimal tracking problem is reformulated as finding a Nash-equilibrium solution of a multi-player…
Inverse optimal control can be used to characterize behavior in sequential decision-making tasks. Most existing work, however, is limited to fully observable or linear systems, or requires the action signals to be known. Here, we introduce…
We adopt the integral definition of the fractional Laplace operator and analyze an optimal control problem for a fractional semilinear elliptic partial differential equation (PDE); control constraints are also considered. We establish the…
Traditional solvable optimal control theory predominantly focuses on quadratic costs due to their analytical tractability, yet they often fail to capture critical non-linearities inherent in real-world systems including water, energy,…
This paper proposes a new gradient-based optimization approach for designing optimal feedback kernels for parabolic distributed parameter systems with boundary control. Unlike traditional kernel optimization methods for parabolic systems,…
We propose a new risk-constrained formulation of the classical Linear Quadratic (LQ) stochastic control problem for general partially-observed systems. Our framework is motivated by the fact that the risk-neutral LQ controllers, although…
We consider the problem of discounted optimal state-feedback regulation for general unknown deterministic discrete-time systems. It is well known that open-loop instability of systems, non-quadratic cost functions and complex nonlinear…
The importance of feedback control is being increasingly appreciated in quantum physics and applications. This paper describes the use of optimal control methods in the design of quantum feedback control systems, and in particular the paper…
This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optimal state feedback control and optimal value for this problem…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
We present a combination technique based on mixed differences of both spatial approximations and quadrature formulae for the stochastic variables to solve efficiently a class of Optimal Control Problems (OCPs) constrained by random partial…
The advances in conic optimization have led to its increased utilization for modeling data uncertainty. In particular, conic mean-risk optimization gained prominence in probabilistic and robust optimization. Whereas the corresponding conic…
In this paper, we present performance estimates for stochastic economic MPC schemes with risk-averse cost formulations. For MPC algorithms with costs given by the expectation of stage cost evaluated in random variables, it was recently…
In this paper we study nonlinear partial differential equations (PDEs) that are used to model different value adjustments denoted generally as xVA. These adjustments are nowadays commonly added to the risk-free financial derivative values…
A $\mathcal{H}_2$-guaranteed sparse-feedback linear-quadratic (LQ) optimal control with convex parameterization and convex-bounded uncertainty is studied in this paper, where $\ell_0$-penalty is added into the $\mathcal{H}_2$ cost to…
Feedback control problems involving autonomous quadratic systems are prevalent, yet there are only a limited number of software tools available for approximating their solution due to the complexity of the problem. This paper represents a…
We analyze a sequential quadratic programming algorithm for solving a class of abstract optimization problems. Assuming that the initial point is in an $L^2$ neighborhood of a local solution that satisfies no-gap second-order sufficient…
We derive error estimates for a linear-quadratic elliptic distributed optimal control problem with pointwise control constraints that can be applied to standard finite element methods and multiscale finite element methods.