Related papers: Characterization of the solution to a constrained …
In the last decades, control problems with infinite horizons and discount factors have become increasingly central not only for economics but also for applications in artificial intelligence and machine learning. The strong links between…
In this paper, we solve a maximization problem where the objective function is quadratic and the constraints set is the reachable values set of a stable discrete-time affine system. This problem is equivalent to solve an infinite number of…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
Many combinatorial optimisation problems can be modelled as valued constraint satisfaction problems. In this paper, we present a polynomial-time algorithm solving the valued constraint satisfaction problem for a fixed number of variables…
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…
We address a class of systems for which the solution to an H-infinity optimal control problem can be given on a very simple closed form. In fact, both the control law and optimal performance value are explicitly given. The class of systems…
We address the problem of computing a control for a time-dependent nonlinear system to reach a target set in a minimal time. To solve this minimal time control problem, we introduce a hierarchy of linear semi-infinite programs, the values…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…
This paper addresses an open problem in the area of linear quadratic optimal control. We consider the regular, infinite-horizon, stability-modulo-a-subspace, indefinite linear quadratic problem under the assumption that the dynamics are…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
The paper considers the suboptimal H-infinity control problem for a general discrete-time system (whose transfer function matrix is allowed to be improper or polynomial). The parametrization of output feedback controllers is given in a…
We consider the decentralized control of radial distribution systems with controllable photovoltaic inverters and energy storage resources. For such systems, we investigate the problem of designing fully decentralized controllers that…
We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated with this problem is the…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
A multi-variable PI (proportional integrating) controller is proved to be optimal for an important class of control problems where performance is specified in terms of frequency weighted H-infinity norms. The problem class includes…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…