Related papers: A Decomposition Method for LQ Conditional McKean-V…
This work proposes a method for solving linear stochastic optimal control (SOC) problems using sum of squares and semidefinite programming. Previous work had used polynomial optimization to approximate the value function, requiring a high…
This work addresses inverse linear optimization where the goal is to infer the unknown cost vector of a linear program. Specifically, we consider the data-driven setting in which the available data are noisy observations of optimal…
In this work, we propose a novel variational quantum approach for solving a class of nonlinear optimal control problems. Our approach integrates Dirac's canonical quantization of dynamical systems with the solution of the ground state of…
We propose a parallel adaptive constraint-tightening approach to solve a linear model predictive control problem for discrete-time systems, based on inexact numerical optimization algorithms and operator splitting methods. The underlying…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
This paper presents a novel method to synthesize stochastic control Lyapunov functions for a class of nonlinear, stochastic control systems. In this work, the classical nonlinear Hamilton-Jacobi-Bellman partial differential equation is…
An optimal control for a dynamical system optimizes a certain objective function. Here we consider the construction of an optimal control for a stochastic dynamical system with a random structure, Poisson perturbations and random jumps,…
While many techniques have been developed for chance constrained stochastic optimal control with Gaussian disturbance processes, far less is known about computationally efficient methods to handle non-Gaussian processes. In this paper, we…
In this paper we present a new steepest-descent type algorithm for convex optimization problems. Our algorithm pieces the unknown into sub-blocs of unknowns and considers a partial optimization over each sub-bloc. In quadratic optimization,…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
Decomposition methods have been proposed to approximate solutions to large sequential decision making problems. In contexts where an agent interacts with multiple entities, utility decomposition can be used to separate the global objective…
This work proposes a solution for the longitudinal and lateral control problem of urban autonomous vehicles using a gain scheduling LPV control approach. Using the kinematic and dynamic vehicle models, a linear parameter varying (LPV)…
This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…
The multiple knapsack problem (MKP) generalizes the classical knapsack problem by assigning items to multiple knapsacks subject to capacity constraints. It is used to model many real-world resource allocation and scheduling problems. In…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
In this article, we present a general methodology for stochastic control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main…
The well-posedness of a class of optimal control problems is analysed, where the state equation couples a nonlinear degenerate Fokker-Planck equation with a system of Ordinary Differential Equations (ODEs). Such problems naturally arise as…
Existing results on decomposition methods and algorithms for nonconvex problems are minimal. Parallel decomposition algorithms do not exist for nonconvex problems with coupling nonlinear equality constraints. Besides, decomposition…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…