Related papers: Analytical Approach to Continuous-Time Causal Opti…
We describe an algorithm to solve Bellman optimization that replaces a sum over paths determining the optimal cost-to-go by an analytic method localized in state space. Our approach follows from the established relation between stochastic…
We present a set-oriented graph-based computational framework for continuous-time optimal transport over nonlinear dynamical systems. We recover provably optimal control laws for steering a given initial distribution in phase space to a…
This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…
This note outlines a mean-field approach to dynamic optimal transport problems based on the recently proposed McKean-Pontryagin maximum principle. Key aspects of the proposed methodology include i) avoidance of sampling over stochastic…
The problem of continuous inverse optimal control (over finite time horizon) is to learn the unknown cost function over the sequence of continuous control variables from expert demonstrations. In this article, we study this fundamental…
The problem under consideration is to drive a spatial vehicle to a target at a given final time while minimizing fuel consumption. This is a classical optimal control problem in a deterministic setting. However temporary stochastic failures…
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…
Change of measures has been an effective method in stochastic control and analysis; in continuous-time control this follows Girsanov's theorem applied to both fully observed and partially observed models, in decentralized stochastic control…
The article poses a general model for optimal control subject to information constraints, motivated in part by recent work of Sims and others on information-constrained decision-making by economic agents. In the average-cost optimal control…
In this paper we consider a parabolic optimal control problem with a Dirac type control with moving point source in two space dimensions. We discretize the problem with piecewise constant functions in time and continuous piecewise linear…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…
This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…
Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
We introduce a new framework for efficient sampling from complex probability distributions, using a combination of optimal transport maps and the Metropolis-Hastings rule. The core idea is to use continuous transportation to transform…
We study sequences, parametrized by the number of agents, of many agent exit time stochastic control problems with risk-sensitive cost structure. We identify a fully characterizing assumption, under which each of such control problem…
This paper aims to address an interesting open problem posed in the paper ''Singular Optimal Control for a Transport-Diffusion Equation'' of Sergio Guerrero and Gilles Lebeau in 2007. The problem involves studying the null-controllability…
We investigate the connection between two classical models of phase transition phenomena, the (discrete size) stochastic Becker-D\"oring, a continous time Markov chain model, and the (continuous size) deterministic Lifshitz-Slyozov model, a…
We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…
We revisit the optimal transport problem over angular velocity dynamics given by the controlled Euler equation. The solution of this problem enables stochastic guidance of spin states of a rigid body (e.g., spacecraft) over a hard deadline…