Related papers: Discretisation of stochastic control problems for …
This work presents the solution to a class of decentralized linear quadratic state-feedback control problems, in which the plant and controller must satisfy the same combination of delay and sparsity constraints. Using a novel decomposition…
The main goal of this paper is developing the method of discrete approximations to derive necessary optimality conditions for a class of constrained sweeping processes with nonsmooth perturbations. Optimal control problems for sweeping…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
We investigate a singular-optimal stopping stochastic control problem driven by self-exciting dynamics governed by a Hawkes process. In the continuous-time setting, we show that the optimization problem reduces to solving a variational…
The mean square stabilization problem for discrete-time networked control systems (NCSs) is investigated in this article. What the difference from most previous works is that input delay and packet losses occur simultaneously in the…
We propose a parallel algorithm for the numerical solution of a class of second order semi-linear equations coming from stochastic optimal control problems, by means of a dynamic domain decomposition technique. The new method is an…
We study a Q learning algorithm for continuous time stochastic control problems. The proposed algorithm uses the sampled state process by discretizing the state and control action spaces under piece-wise constant control processes. We show…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
In this paper we address the question how the control of delayed measured chaotic systems can be improved. Both unmodified OGY control and difference control can be successfully applied only for a certain range of Lyapunov numbers depending…
We consider sequences-indexed by time (discrete stages)-of families of multistage stochastic optimization problems. At each time, the optimization problems in a family are parameterized by some quantities (initial states, constraint…
This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the…
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…
We are interested in high-order linear multistep schemes for time discretization of adjoint equations arising within optimal control problems. First we consider optimal control problems for ordinary differential equations and show loss of…
This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these…
This article deals with variational optimal-control problems on time scales in the presence of delay in the state variables. The problem is considered on a time scale unifying the discrete, the continuous and the quantum cases. Two examples…
Controlling complex dynamical systems has been a topic of considerable interest in academic circles in recent decades. While existing works have primarily focused on closed-loop control schemes with infinite-time durations, this paper…
We present a new, tractable method for solving and analyzing risk-aware control problems over finite and infinite, discounted time-horizons where the dynamics of the controlled process are described as a martingale problem. Supposing…
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…
We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = $\alpha$ t--d (bdt + $\sigma$dW t). We provide a new characterization of the solution in terms of a set of Riccati…