Related papers: Optimal bounds for numerical approximations of fin…
This paper presents a novel factor graph-based approach to solve the discrete-time finite-horizon Linear Quadratic Regulator problem subject to auxiliary linear equality constraints within and across time steps. We represent such optimal…
We consider the finite horizon continuous reinforcement learning problem. Our contribution is three-fold. First,we give a tractable algorithm based on optimistic value iteration for the problem. Next,we give a lower bound on regret of order…
We study the infinite-horizon distributionally robust (DR) control of linear systems with quadratic costs, where disturbances have unknown, possibly time-correlated distribution within a Wasserstein-2 ambiguity set. We aim to minimize the…
In this paper error analysis for finite element discretizations of Dirichlet boundary control problems is developed. For the first time, optimal discretization error estimates are established in the case of three dimensional polyhedral and…
We study a family of optimal control problems in which one aims at minimizing a cost that mixes a quadratic control penalization and the variance of the system, both for finitely many agents and for the mean-field dynamics as their number…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
This work addresses the finite-horizon robust covariance control problem for discrete-time, partially observable, linear system affected by random zero mean noise and deterministic but unknown disturbances restricted to lie in what is…
This paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting. We obtain a condition on the discount factor process under which all of the standard optimality results…
We establish a linear programming formulation for the solution of joint chance constrained optimal control problems over finite time horizons. The joint chance constraint may represent an invariance, reachability or reach-avoid…
We discuss several optimization procedures to solve finite element approximations of linear-quadratic Dirichlet optimal control problems governed by an elliptic partial differential equation posed on a 2D or 3D Lipschitz domain. The control…
This paper considers the discrete-time, stochastic LQR problem with $p$ steps of disturbance preview information where $p$ is finite. We first derive the solution for this problem on a finite horizon with linear, time-varying dynamics and…
We examine the problem of two-point boundary optimal control of nonlinear systems over finite-horizon time periods with unknown model dynamics by employing reinforcement learning. We use techniques from singular perturbation theory to…
The aim of the paper is to study an optimal control problem on infinite horizon for an infinite dimensional integro-differential equation with completely monotone kernelskernels, where we assume that the noise enters the system when we…
We describe an approximate dynamic programming approach to compute lower bounds on the optimal value function for a discrete time, continuous space, infinite horizon setting. The approach iteratively constructs a family of lower bounding…
In this article, we address a class of non convex, integer, non linear mathematical programs using dynamic programming. The mathematical program considered, whose properties are studied in this article, may be used to model the optimal…
This paper proposes a method to compute lower performance bounds for discrete-time infinite-horizon min-max control problems with input constraints and bounded disturbances. Such bounds can be used as a performance metric for control…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
This paper is concerned with the discretization error analysis of semilinear Neumann boundary control problems in polygonal domains with pointwise inequality constraints on the control. The approximations of the control are piecewise…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
In this study, we consider the infinite-horizon, discounted cost, optimal control of stochastic nonlinear systems with separable cost and constraints in the state and input variables. Using the linear-time Legendre transform, we propose a…