Related papers: Time-Inconsistent Singular Control Problems with a…
We examine robust output feedback control of discrete-time nonlinear systems with bounded uncertainties affecting the dynamics and measurements. Specifically, we demonstrate how to construct semi-infinite programs that produce gains to…
In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint. We prove that our equilibrium model produces output consistent with several empirical stylized facts such…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
Robust performance of control schemes for open quantum systems is investigated under classical uncertainties in the generators of the dynamics and nonclassical uncertainties due to decoherence and initial state preparation errors. A…
We consider the problem of damping a control system with delay, described by first-order functional-differential equations on a temporal star graph. The delay in the system is time-proportional and propagates through the internal vertex. We…
Following Demidovich's concept and definition of convergent systems, we analyze the optimal nonlinear damping control, recently proposed [1] for the second-order systems. Targeting the problem of output regulation, correspondingly tracking…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
According to recent results, convergence in a prespecified or prescribed finite time can be achieved under extreme model uncertainty if control is applied continuously over time. This paper shows that this extreme amount of uncertainty…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
The key element of the approach to the theory of necessary conditions in optimal control discussed in the paper is reduction of the original constrained problem to unconstrained minimization with subsequent application of a suitable…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…
The optimal control of a mechanical system is of crucial importance in many realms. Typical examples are the determination of a time-minimal path in vehicle dynamics, a minimal energy trajectory in space mission design, or optimal motion…
We study model predictive control for singular differential-algebraic equations with higher index. This is a novelty when compared to the literature where only regular differential-algebraic equations with additional assumptions on the…
This work is devoted to study of a class of elliptic singular perturbed systems and their singular limit to a phase segregating system. We prove existence and uniqueness and study the asymptotic behaviour with convergence to a limiting…
We consider a large family of discrete and continuous time controlled Markov processes and study an ergodic risk-sensitive minimization problem. Under a blanket stability assumption, we provide a complete analysis to this problem. In…
We study a time minimization problem on the group of motions of a plane with admissible control in a half-disk. The considered control system describes a model of a car that can move forward on a plane and turn in place. Optimal…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
A unified approach to derive optimal finite differences is presented which combines three critical elements for numerical performance especially for multi-scale physical problems, namely, order of accuracy, spectral resolution and…