相关论文: Feedback optimal controllers for the Heston model

The aim of this paper is to investigate the existence of optimal controls for systems described by stochastic partial differential equations (SPDEs) with locally monotone coefficients controlled by different external forces which are…

We address modeling and control of a gate access automation system. A model of the mechatronic system is derived and identified. Then an approximate explicit feedback linearization scheme is proposed, which ensures almost linear response…

We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

For linear time-invariant (LTI) systems, the design of an optimal controller is a commonly encountered problem in many applications. Among all the optimization approaches available, the linear quadratic regulator (LQR) methodology certainly…

In this article, we consider a fundamental decentralized optimal control problem, which we call the two-player problem. Two subsystems are interconnected in a nested information pattern, and output feedback controllers must be designed for…

A method of optimal control computation is proposed for problems with control and state constraints. It uses a sequence of control structure adjustments in the form of generations and reductions of nodes and arcs, which do not change the…

Optimization with preference feedback is an active research area with many applications in engineering systems where humans play a central role, such as building control and autonomous vehicles. While most existing studies focus on…

Distributed control problems under some specific information constraints can be formulated as (possibly infinite dimensional) convex optimization problems. The underlying motivation of this work is to develop an understanding of the optimal…

We show that the stochastic Schrodinger equation for the filtered state of a system, with linear free dynamics, undergoing continual non-demolition measurement or either position or momentum, or both together, can be solved explicitly…

We propose a novel reformulation of the stochastic optimal control problem as an approximate inference problem, demonstrating, that such a interpretation leads to new practical methods for the original problem. In particular we characterise…

This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…

Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…

In this paper, we investigate a sparse optimal control of continuous-time stochastic systems. We adopt the dynamic programming approach and analyze the optimal control via the value function. Due to the non-smoothness of the $L^0$ cost…

Optimal control problems of tracking type for a class of linear systems with uncertain parameters in the dynamics are investigated. An affine tracking feedback control input is obtained by considering the minimization of an energy-like…

In data-driven control design, an important problem is to deal with uncertainty due to limited and noisy data. One way to do this is to use a min-max approach, which aims to minimize some design criteria for the worst-case scenario.…

This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…

Computational level explanations based on optimal feedback control with signal-dependent noise have been able to account for a vast array of phenomena in human sensorimotor behavior. However, commonly a cost function needs to be assumed for…

We consider control of uncertain linear time-varying stochastic systems from the perspective of regret minimization. Specifically, we focus on the problem of designing a feedback controller that minimizes the loss relative to a clairvoyant…

In this article, we analyse the existence of an optimal feedback controller of stochastic optimal control problems governed by SDEs which have the control in the diffusion part. To this end, we consider the underlying Fokker-Planck equation…