Related papers: $H_2/H_{\infty}$ Control for Stochastic Differenti…
In this paper we study a criterion for the viability of stochastic semilinear control systems on a real, separable Hilbert space. The necessary and sufficient conditions are given using the notion of stochastic quasi-tangency. As a…
We consider a multi-period stochastic control problem where the multivariate driving stochastic factor of the system has known marginal distributions but uncertain dependence structure. To solve the problem, we propose to implement the…
In standard treatments of stochastic filtering one first has to estimate the values of the parameters of the model. Simply running the filter without considering the reliability of this estimate does not take into account this additional…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
If imposing general structural constraints on controllers, it is unknown how to design $H_\infty$-controllers by convex optimization. Under a so-called quadratic invariance structure of the generalized plant, the Youla parametrization…
We consider a Bayesian adaptive optimal stochastic control problem where a hidden static signal has a non-separable influence on the drift of a noisy observation. Being allowed to control the specific form of this dependence, we aim at…
This paper discusses the approximate controllability of a fractional differential control problem driven by a nonlinear hemivariational inequality in a Hilbert space. First, we prove the existence of a mild solution for a fractional control…
This paper is concerned with linear stochastic Hamiltonian (LSH) systems subject to random external forces. Their dynamics are modelled by linear stochastic differential equations, parameterised by stiffness, mass, damping and coupling…
In this paper, we address a social planner's optimal control problem for a partially observable stochastic epidemic model. The control measures include social distancing, testing, and vaccination. Using a diffusion approximation for the…
This paper studies the stochastic optimal control problem for systems with unknown dynamics. First, an open-loop deterministic trajectory optimization problem is solved without knowing the explicit form of the dynamical system. Next, a…
Robust control of complex engineered and biological systems hinges on the integration of feedforward and feedback mechanisms. This is exemplified in neural motor control, where feedforward muscle co-contraction complements sensory-driven…
This paper deals with the distributed $\mathcal{H}_2$ optimal control problem for linear multi-agent systems. In particular, we consider a suboptimal version of the distributed $\mathcal{H}_2$ optimal control problem. Given a linear…
This project investigates the approximate controllability of a class of stochastic integrodifferential equations in Hilbert space with non-local beginning conditions. In a departure from the conventional concerns expressed in the…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation.…
The purpose of this paper is to investigate the coherent feedback $H^\infty$ control problem for linear quantum systems. A key contribution is a simplified design methodology that guarantees closed-loop stability and a prescribed level of…
We consider a class of stochastic optimal control problems with partial observation, and study their approximation by discrete-time control problems. We establish a convergence result by using weak convergence technique of Kushner and…
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent…
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…