Related papers: Modeling and Stabilizing Financial Systemic Risk U…
We consider the adaptive control problem for discrete-time, nonlinear stochastic systems with linearly parameterised uncertainty. Assuming access to a parameterised family of controllers that can stabilise the system in a bounded set within…
We consider the problem of designing a feedback controller which robustly regulates an LTI system to an optimal operating point in the presence of unmeasured disturbances. A general design framework based on so-called optimality models was…
System level synthesis enables improved robust MPC formulations by allowing for joint optimization of the nominal trajectory and controller. This paper introduces a tailored algorithm for solving the corresponding disturbance feedback…
The optimal controller design problem for a linear, first-order spatially-invariant distributed parameter system is considered. Through a case study of the Linear Quadratic Regulator (LQR) problem for the diffusion equation over the torus,…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
The focus of this paper is directed towards optimal control of multi-agent systems consisting of one leader and a number of followers in the presence of noise. The dynamics of every agent is assumed to be linear, and the performance index…
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the…
The stability analysis of model predictive control schemes without terminal constraints and/or costs has attracted considerable attention during the last years. We pursue a recently proposed approach which can be used to determine a…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
This study proposes a method for designing stabilizing suboptimal controllers for nonlinear stochastic systems. These systems include time-invariant stochastic parameters that represent uncertainty of dynamics, posing two key difficulties…
This paper addresses the distributed optimal frequency control of power systems considering a network-preserving model with nonlinear power flows and excitation voltage dynamics. Salient features of the proposed distributed control strategy…
We describe the resulting spatiotemporal dynamics when a homogeneous equilibrium loses stability in a spatially extended system. More precisely, we consider reaction-diffusion systems, assuming only that the reaction kinetics undergo a…
This paper proposes an off-policy risk-sensitive reinforcement learning based control framework for stabilization of a continuous-time nonlinear system that subjects to additive disturbances, input saturation, and state constraints. By…
In this paper, the stability and stabilization problem of positive nonlinear systems, described by the Takagi-Sugeno discrete-time fuzzy model, is studied. The proposed approach is based on the linear co-positive Lyapunov function and…
The stabilization of nonlinear systems under zero-state-detectability assumption or its analogues is considered. The proposed supervisory control provides a finite time practical stabilization of output and it is based on uniting local and…
This paper investigates the identification, the determinacy and the stability of ad hoc, "quasi-optimal" and optimal policy rules augmented with financial stability indicators (such as asset prices deviations from their fundamental values)…
This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More…