Related papers: Bang-Bang Evasion: Its Stochastic Optimality and a…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
The safe linear bandit problem is a version of the classical stochastic linear bandit problem where the learner's actions must satisfy an uncertain constraint at all rounds. Due its applicability to many real-world settings, this problem…
We study the optimal trade-off between expectation and tail risk for regret distribution in the stochastic multi-armed bandit model. We fully characterize the interplay among three desired properties for policy design: worst-case…
This paper considers optimal control problems defined by a monotone dynamical system, a monotone cost, and monotone constraints. We identify families of such problems for which the optimal solution is bang-ride, i.e., always operates on the…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
In this paper, we consider the problem of minimum-time optimal control for a dynamical system with initial state uncertainties and propose a sequential convex programming (SCP) solution framework. We seek to minimize the expected terminal…
Pursuit-evasion is a multi-agent sequential decision problem wherein a group of agents known as pursuers coordinate their traversal of a spatial domain to locate an agent trying to evade them. Pursuit evasion problems arise in a number of…
We propose and analyze a posteriori error estimates for a control-constrained optimal control problem with bang-bang solutions. We consider a solution strategy based on the variational approach, where the control variable is not…
We present a framework that incorporates the idea of bounded rationality into dynamic stochastic pursuit-evasion games. The solution of a stochastic game is characterized, in general, by its (Nash) equilibria in feedback form. However,…
Surveillance-Evasion (SE) games form an important class of adversarial trajectory-planning problems. We consider time-dependent SE games, in which an Evader is trying to reach its target while minimizing the cumulative exposure to a moving…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…
In this paper, we consider the problem of steering a family of independent, structurally identical, finite-dimensional stochastic linear systems with variation in system parameters between initial and target states of interest by using an…
In this article, a general problem of sequential statistical inference for general discrete-time stochastic processes is considered. The problem is to minimize an average sample number given that Bayesian risk due to incorrect decision does…
The design and performance analysis of bandit algorithms in the presence of stage-wise safety or reliability constraints has recently garnered significant interest. In this work, we consider the linear stochastic bandit problem under…
We consider nonlinear stochastic systems that arise in path planning and control of mobile robots. As is typical of almost all nonlinear stochastic systems, the optimally solving problem is intractable. We provide a design approach which…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
Considering uncertainties and disturbances is an important, yet challenging, step in successful decision making. The problem becomes more challenging in safety-constrained environments. In this paper, we propose a robust and safe trajectory…
We consider a pursuit-evasion game [11] played between two agents, 'Blue' (the pursuer) and 'Red' (the evader), over $T$ time steps. Red aims to attack Blue's territory. Blue's objective is to intercept Red by time $T$ and thereby limit the…
We study a pursuit-evasion problem which can be viewed as an extension of the keep-away game. In the game, pursuer(s) will attempt to intersect or catch the evader, while the evader can visit a fixed set of locations, which we denote as the…