相关论文: The Minkowski-Bellman Equation
In this paper, we consider the infinite horizon optimal control problem for nonlinear systems. Under the conditions of controllability of the linearized system around the origin, and nonlinear controllability of the system to a terminal set…
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 studies an optimal stochastic impulse control problem in a finite horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of time has to be elapsed before the next impulse is allowed to…
This paper mainly establishes the finite-horizon stochastic bounded real lemma, and then solves the $H_{\infty}$ control problem for discrete-time stochastic linear systems defined on the separable Hilbert spaces, thereby unifying the…
An optimal control problem on finite-dimensional positive cones is stated. Under a critical assumption on the cone, the corresponding Bellman equation is satisfied by a linear function, which can be computed by convex optimization. A…
In this note, we present some complementary results on the infinite horizon optimal control for linear time-delay systems. We formally establish some properties of the matrices arising in the Bellman functional, and we prove that no…
Existing results on finite-time model predictive control (MPC) often rely on terminal equality constraint, switching inside one-step region, or terminal cost with short control horizon, leading to limited initial feasibility. This paper…
Convex Q-learning is a recent approach to reinforcement learning, motivated by the possibility of a firmer theory for convergence, and the possibility of making use of greater a priori knowledge regarding policy or value function structure.…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…
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…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
This paper proposes a new framework to model control systems in which a dynamic friction occurs. The model consists in a controlled differential inclusion with a discontinuous right hand side, which still preserves existence and uniqueness…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
In this paper, for the Hamilton-Jacobi-Bellman equation with an infinite horizon and state constraints, we construct a suitably regular representation. This allows us to reduce the problem of existence and uniqueness of solutions to the…
This article is the starting point of a series of works whose aim is the study of deterministic control problems where the dynamic and the running cost can be completely different in two (or more) complementary domains of the space $\R^N$.…
We study a multiscale stochastic optimal control problem subject to state constraints on the slow variable. To address this class of problems, we develop a rigorous theoretical framework based on singular perturbation analysis, tailored to…
The solution to the infinite horizon optimal control problem for linear distributed time-delay systems is presented. The proposal is based on the use of the Cauchy solution for distributed time-delay systems. In contrast with previous…
A general problem in optimal control consists of finding a terminal reward that makes the value function independent of the horizon. Such a terminal reward can be interpreted as a max-plus eigenvector of the associated Lax-Oleinik…
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite…