Related papers: A Decomposition Method for LQ Conditional McKean-V…
This paper studies a class of mean-field control (MFC) problems with singular controls under general dynamic state-control-law constraints. We first propose a customized relaxed control formulation to cope with the dynamic mixed constraints…
This work addresses an optimal control problem constrained by a degenerate kinetic equation of parabolic-hyperbolic type. Using a hypocoercivity framework we establish the well-posedness of the problem and demonstrate that the optimal…
In this paper we consider an interacting two-agent sequential decision-making problem consisting of a Markov source process, a causal encoder with feedback, and a causal decoder. Motivated by a desire to foster links between control and…
We consider multistage stochastic optimization problems involving multiple units. Each unit is a (small) control system. Static constraints couple units at each stage. We present a mix of spatial and temporal decompositions to tackle such…
In this brief, we consider the constrained optimization problem underpinning model predictive control (MPC). We show that this problem can be decomposed into an unconstrained optimization problem with the same cost function as the original…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by…
This paper presents two new approaches to decomposing and solving large Markov decision problems (MDPs), a partial decoupling method and a complete decoupling method. In these approaches, a large, stochastic decision problem is divided into…
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…
We study a McKean-Vlasov optimal control problem with common noise, in order to establish the corresponding limit theory, as well as the equivalence between different formulations, including the strong, weak and relaxed formulation. In…
Optimizing maintenance scheduling is a major issue to improve the performance of hydropower plants. We study a system of several physical components of the same family: either a set of turbines, a set of transformers or a set of generators.…
This paper offers a unified perspective on different approaches to the solution of optimal control problems through the lens of constrained sequential quadratic programming. In particular, it allows us to find the relationships between…
Practical optimization problems may contain different kinds of difficulties that are often not tractable if one relies on a particular optimization method. Different optimization approaches offer different strengths that are good at…
In this paper, the decentralized estimation and linear quadratic (LQ) control problem for a leader-follower networked system (LFNS) is studied from the perspective of asymmetric information. Specifically, for a leader-follower network, the…
In this paper, we present an Uzawa-based heuristic that is adapted to some type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale independent subsystems, though linked…
This paper investigates numerical methods for solving stochastic linear quadratic (SLQ) optimal control problems governed by stochastic partial differential equations (SPDEs). Two distinct approaches, the open-loop and closed-loop ones, are…
When stochastic control problems do not possess separability and/or monotonicity, the dynamic programming pioneered by Bellman in 1950s fails to work as a time-decomposition solution method. Such cases have posted a great challenge to the…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
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…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…