相关论文: Reinforcement Solver for H-infinity Filter with Bo…

In this paper, the reinforcement learning (RL)-based optimal control problem is studied for multiplicative-noise systems, where input delay is involved and partial system dynamics is unknown. To solve a variant of Riccati-ZXL equations,…

In this paper, we propose an improved numerical algorithm for solving minimax problems based on nonsmooth optimization, quadratic programming and iterative process. We also provide a rigorous proof of convergence for our algorithm under…

We consider an affine process $X$ which is only observed up to an additive white noise, and we ask for its law, for some time $t > 0 $, conditional on all observations up to this time $ t $. This is a general, possibly high dimensional…

According to the fundamental laws of quantum optics, noise is necessarily added to the system when one tries to clone or amplify a quantum state. However, it has recently been shown that the quantum noise related to the operation of a…

Deconvolution is a widely used strategy to mitigate the blurring and noisy degradation of hyperspectral images~(HSI) generated by the acquisition devices. This issue is usually addressed by solving an ill-posed inverse problem. While…

When measurements from dynamical systems are noisy, it is useful to have estimation algorithms that have low sensitivity to measurement noises and outliers. In the first set of results described in this paper we obtain optimal estimators…

Nonholonomic mechanical systems have been attracting more interest in recent years because of their rich geometric properties and their applications in Engineering. In all generality, we discuss the reduction of a Hamilton-Jacobi theory for…

We consider reinforcement learning (RL) methods for finding optimal policies in linear quadratic (LQ) mean field control (MFC) problems over an infinite horizon in continuous time, with common noise and entropy regularization. We study…

We consider a convex optimization problem with many linear inequality constraints. To deal with a large number of constraints, we provide a penalty reformulation of the problem, where the penalty is a variant of the one-sided Huber loss…

Commonly in reinforcement learning (RL), rewards are discounted over time using an exponential function to model time preference, thereby bounding the expected long-term reward. In contrast, in economics and psychology, it has been shown…

In this paper, a synthesis method for distributed estimation is presented, which is suitable for dealing with large-scale interconnected linear systems with disturbance. The main feature of the proposed method is that local estimators only…

The problem of reinforcement learning is considered where the environment or the model undergoes a change. An algorithm is proposed that an agent can apply in such a problem to achieve the optimal long-time discounted reward. The algorithm…

The aim of this paper is to design a band-limited optimal input with power constraints for identifying a linear multi-input multi-output system. It is assumed that the nominal system parameters are specified. The key idea is to use the…

This paper characterizes the solution to a finite horizon min-max optimal control problem where the system is linear and discrete-time with control and state constraints, and the cost quadratic; the disturbance is negatively costed, as in…

This paper studies the continuous-time reinforcement learning for stochastic singular control with the application to an infinite-horizon irreversible reinsurance problems. The singular control is equivalently characterized as a pair of…

Gradient-descent based iterative algorithms pervade a variety of problems in estimation, prediction, learning, control, and optimization. Recently iterative algorithms based on higher-order information have been explored in an attempt to…

We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by "controlled" Markov noise. In particular, the faster and slower recursions have non-additive controlled Markov noise…

We address the problem of blind gain and phase calibration of a sensor array from ambient noise. The key motivation is to ease the calibration process by avoiding a complex procedure setup. We show that computing the sample covariance…

We consider entanglement-assisted frequency estimation by Ramsey interferometry, in the presence of dephasing noise from spatiotemporally correlated environments.By working in the widely employed local estimation regime, we show that even…

In this paper, we develop stochastic variance reduced algorithms for solving a class of finite-sum hemivariational inequality (HVI) problem. In this HVI problem, the associated function is assumed to be differentiable, and both the vector…