Related papers: Inverse Stochastic Control via Generalized Schr\"o…
We present a pair of adjoint optimal control problems characterizing a class of time-symmetric stochastic processes defined on random time intervals. The associated PDEs are of free-boundary type. The particularity of our approach is that…
We study causal optimal transport in continuous time, with Markovian cost, between a finite-state Markov source and a diffusion target. By replacing the source with its conditional law given the observation of the target, we characterize…
While techniques have been developed for chance constrained stochastic optimal control using sample disturbance data that provide a probabilistic confidence bound for chance constraint satisfaction, far less is known about how to use sample…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
We consider the problem of estimating the possibly non-convex cost of an agent by observing its interactions with a nonlinear, non-stationary and stochastic environment. For this inverse problem, we give a result that allows to estimate the…
Discrete-time stochastic optimal control remains a challenging problem for general, nonlinear systems under significant uncertainty, with practical solvers typically relying on the certainty equivalence assumption, replanning and/or…
In this paper we develop a time reversal method for the radiative transport equation to solve two problems: an inverse problem for the recovery of an initial condition from boundary measurements, and the exact boundary controllability of…
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…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
The Schr\"odinger bridge problem is concerned with finding a stochastic dynamical system bridging two marginal distributions that minimises a certain transportation cost. This problem, which represents a generalisation of optimal transport…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
We consider the problem of steering a linear stochastic system between two end-point degenerate Gaussian distributions in finite time. This accounts for those situations in which some but not all of the state entries are uncertain at the…
In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…
The aim of this notes is to give a concise introduction to control theory for systems governed by stochastic partial differential equations. We shall mainly focus on controllability and optimal control problems for these systems. For the…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
Understanding the complex patterns in space-time exhibited by active systems has been the subject of much interest in recent times. Complementing this forward problem is the inverse problem of controlling active matter. Here we use optimal…
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
We study the least-energy way to reshape a probability distribution when motion is constrained to a horizontal bundle, that is, optimal transport and distribution steering in sub-Riemannian geometry, motivated by density control over…
We study the convergence of an $N$-particle Markovian controlled system to the solution of a family of stochastic McKean-Vlasov control problems, either with a finite horizon or Schr\"odinger type cost functional. Specifically, under…