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This paper provides a new formulation of second order stochastic target problems introduced in [SIAM J. Control Optim. 48 (2009) 2344-2365] by modifying the reference probability so as to allow for different scales. This new ingredient…
This paper presents an optimal dynamic control framework for bounded Jacobian nonlinear discrete-time (DT) systems with nonlinear observations affected by both state and process noise. Rather than directly stabilizing the uncertain system,…
We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of…
The goal of this paper is to investigate distributed temporal difference (TD) learning for a networked multi-agent Markov decision process. The proposed approach is based on distributed optimization algorithms, which can be interpreted as…
Computational level explanations based on optimal feedback control with signal-dependent noise have been able to account for a vast array of phenomena in human sensorimotor behavior. However, commonly a cost function needs to be assumed for…
Data-driven control of nonlinear systems with rigorous guarantees is a challenging problem as it usually calls for nonconvex optimization and requires often knowledge of the true basis functions of the system dynamics. To tackle these…
This paper presents a computationally efficient robust model predictive control law for discrete linear time invariant systems subject to additive disturbances that may depend on the state and/or input norms. Despite the dependency being…
This paper investigates the $H_{2}/H_{\infty}$ control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state accessibility, we consider the scenario where the controller…
A finite-horizon optimal estimation problem for discrete-time linear systems is formulated and solved. The formulation is a natural extension of that which yields a deadbeat observer. The resultant observer is the dual of the controller…
The dynamic emulation of non-linear deterministic computer codes where the output is a time series, possibly multivariate, is examined. Such computer models simulate the evolution of some real-world phenomenon over time, for example models…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
Practical Bayes filters often assume the state distribution of each time step to be Gaussian for computational tractability, resulting in the so-called Gaussian filters. When facing nonlinear systems, Gaussian filters such as extended…
A new, extended nonlinear framework of the ordinary real analysis incorporating a novel concept of {\em duality structure} and its applications into various nonlinear dynamical problems is presented. The duality structure is an asymptotic…
We study a class of mean-field control problems under partial observation. The controlled dynamics are of McKean-Vlasov type and are subject to regime switching driven by a hidden Markov chain. The observation process depends on the control…
A stochastic linear quadratic (LQ) optimal control problem with a pointwise linear equality constraint on the terminal state is considered. A strong Lagrangian duality theorem is proved under a uniform convexity condition on the cost…
Non-equilibrium steady states are subject to intense investigations but still poorly understood. For instance, the derivation of Fourier law in Hamiltonian systems is a problem that still poses several obstacles. In order to investigate…
A Markovian model for a quantum automata, i.e. an open quantum dynamical discrete-time system with input and output channels and a feedback, is described. A dynamical theory of quantum discrete-time adaptive measurements and multi-stage…
In this paper, we study the discrete time filtering problems for linear systems driven by fractional noises. The main difficulty comes from the non-Markovian of the noises. We construct the difference equation of the covariance process…
We find that in "two-photon"-like processes in the scalar $\varphi^3_E$ model and also in hadron-pair production arising from the collisions of a real (transversely polarized) and a highly virtual, longitudinally polarized, photon in QCD,…
We study a continuous-time primal-dual algorithm for distributed optimization with nonconvex local cost functions over weight-unbalanced digraphs, and analyze its performance from a dissipativity-based perspective. We first reformulate the…