Related papers: A Time-Inconsistent Stochastic Optimal Control Pro…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
This paper focuses on infinite-horizon optimal control problems for dissipative systems and the relations to their finite-horizon formulations. We show that, for a large class of problems, dissipativity of the state equation, when a…
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…
We consider a simple control problem in which the underlying dynamics depend on a parameter that is unknown and must be learned. We exhibit a control strategy which is optimal to within a multiplicative constant. While most authors find…
In this paper, we consider an infinite horizon Linear-Quadratic-Gaussian control problem with controlled and costly measurements. A control strategy and a measurement strategy are co-designed to optimize the trade-off among control…
We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…
This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we derive sufficient conditions for achieving the Nash equilibrium,…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
We investigate the existence and uniqueness of non-Markovian second-order backward stochastic differential equations with an uncertain terminal horizon and establish comparison principles under the assumption that the driver is Lipschitz…
We provide a solution to the problem of receding horizon control for stochastic discrete-time systems with bounded control inputs and imperfect state measurements. For a suitable choice of control policies, we show that the finite-horizon…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…
We consider a stochastic linear system and address the design of a finite horizon control policy that is optimal according to some average cost criterion and accounts also for probabilistic constraints on both the input and state variables.…
This article deals with variational optimal-control problems on time scales in the presence of delay in the state variables. The problem is considered on a time scale unifying the discrete, the continuous and the quantum cases. Two examples…
This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control…
This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and strong turnpike properties are established under appropriate…
Control of continuous time dynamics with multiplicative noise is a classic topic in stochastic optimal control. This work addresses the problem of designing infinite horizon optimal controls with stability guarantees for \textit{a single…
Despite its popularity in the reinforcement learning community, a provably convergent policy gradient method for continuous space-time control problems with nonlinear state dynamics has been elusive. This paper proposes proximal gradient…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
In this paper, based on real-time nonlinear receding horizon control methodology, a novel approach is developed for parameter estimation of time invariant and time varying nonlinear dynamical systems in chaotic environments. Here, the…