Related papers: Discrete-time linear quadratic stochastic control …
We address control synthesis of stochastic discrete-time linear multi-agent systems under jointly chance-constrained collaborative signal temporal logic specifications in a distribution-free manner using available disturbance samples, which…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
Optimal control deals with optimization problems in which variables steer a dynamical system, and its outcome contributes to the objective function. Two classical approaches to solving these problems are Dynamic Programming and the…
The DPG method with optimal test functions for solving linear quadratic optimal control problems with control constraints is studied. We prove existence of a unique optimal solution of the nonlinear discrete problem and characterize it…
A smart grid connects wind or solar or storage farms, fossil fuel plants, industrialor commercial loads, or load serving entities, modeled as stochastic dynamical systems. In each time period, they consume or supply electrical energy, with…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
In this paper, we study the linear quadratic (LQ) optimal control problem of linear systems with private input and measurement information. The main challenging lies in the unavailability of other regulators' historical input information.…
This work presents a novel algorithm for impulsive optimal control of linear time-varying systems with the inclusion of input magnitude constraints. Impulsive optimal control problems, where the optimal input solution is a sum of delta…
In this letter, we model the day-ahead price-based demand response of a residential household with battery energy storage and other controllable loads, as a convex optimization problem. Further using duality theory and Karush-Kuhn-Tucker…
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions of the associated Hamilton-Jacobi-Bellman equations. We show…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
This paper studies the partially observed stochastic optimal control problem for systems with state dynamics governed by Partial Differential Equations (PDEs) that leads to an extremely large problem. First, an open-loop deterministic…
Demand response (DR) is a cost-effective and environmentally friendly approach for mitigating the uncertainties in renewable energy integration by taking advantage of the flexibility of customers' demands. However, existing DR programs…
A classical approach for solving discrete time nonlinear control on a finite horizon consists in repeatedly minimizing linear quadratic approximations of the original problem around current candidate solutions. While widely popular in many…
We study a linear-quadratic optimal control problem involving a parabolic equation with fractional diffusion and Caputo fractional time derivative of orders $s \in (0,1)$ and $\gamma \in (0,1]$, respectively. The spatial fractional…
We consider a smart-grid connecting several agents, modeled as stochastic dynamical systems, who may be electricity consumers/producers. At each discrete time instant, which may represent a 15 minute interval, each agent may…
This paper is concerned with the exact controllability of discrete-time stochastic system which is one of the basic problems of modern control theory. Though the exact controllability of continuous-time system governed by Ito stochastic…