Related papers: $H_2/H_{\infty}$ Control for Stochastic Differenti…
This article deals with a stochastic control problem for certain fluids of non-Newtonian type. More precisely, the state equation is given by the two-dimensional stochastic second grade fluids perturbed by a multiplicative white noise. The…
Autonomous control systems use various sensors to decrease the amount of uncertainty under which they operate. While providing partial observation of the current state of the system, sensors require resources such as energy, time and…
Many relevant problems in the area of systems and control, such as controller synthesis, observer design and model reduction, can be viewed as optimization problems involving dynamical systems: for instance, maximizing performance in the…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
This paper investigates the Nash equilibrium of a bi-objective optimal control problem governed by the Stokes equations. A multi-objective Nash strategy is formulated, and fundamental theoretical results are established, including the…
By extending \cite{bensoussan2015control}, we implement the proposal of Lions \cite{lions14} on studying mean field games and their master equations via certain control problems on the Hilbert space of square integrable random variables. In…
For systems that are not observable at the very equilibrium of interest to be stabilized, output-feedback stabilization is considerably challenging. In this paper we solve this control problem for the case-study of a second-order system…
We consider the problem of controlling an unknown linear dynamical system in the presence of (nonstochastic) adversarial perturbations and adversarial convex loss functions. In contrast to classical control, the a priori determination of an…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
In Stochastic Optimal Control (SOC) one minimizes the average cost-to-go, that consists of the cost-of-control (amount of efforts), cost-of-space (where one wants the system to be) and the target cost (where one wants the system to arrive),…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
We consider the problem of controlling a linear dynamical system from bilinear observations with minimal quadratic cost. Despite the similarity of this problem to standard linear quadratic Gaussian (LQG) control, we show that when the…
This paper is addressed to studying the exact controllability for stochastic Schr\"{o}dinger equations by two controls. One is a boundary control in the drift term and the other is an internal control in the diffusion term. By means of the…
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…
We consider a velocity tracking problem for stochastic Navier-Stokes equations in a 2D-bounded domain. The control acts on the boundary through an injection-suction device with uncertainty, which acts in accordance with the non-homogeneous…
We develop dynamical programming methods for the purpose of optimal control of quantum states with convex constraints and concave cost and bequest functions of the quantum state. We consider both open loop and feedback control schemes,…
This paper addresses the robust ${\cal H}_2$ synthesis problem for linear fractional transformation (LFT) systems subject to structured uncertainty (parameter) and white-noise disturbances. By introducing an intermediate matrix variable, we…
In this article we approach a class of stochastic reachability problems with state constraints from an optimal control perspective. Preceding approaches to solving these reachability problems are either confined to the deterministic setting…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…