相关论文: Certainty Equivalent Quadratic Control for Markov …
This paper is concerned with portfolio selection for an investor with exponential, power, and logarithmic utility in multi-asset financial markets allowing jumps. We investigate the classical Merton's portfolio optimization problem in a…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
Robots performing manipulation tasks must operate under uncertainty about both their pose and the dynamics of the system. In order to remain robust to modeling error and shifts in payload dynamics, agents must simultaneously perform…
In this paper we consider a constrained parabolic optimal control problem. The cost functional is quadratic and it combines the distance of the trajectory of the system from the desired evolution profile together with the cost of a control.…
Model predictive control (MPC) has shown great success for controlling complex systems such as legged robots. However, when closing the loop, the performance and feasibility of the finite horizon optimal control problem (OCP) solved at each…
We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dynamics driven by a class of Markov chains of mean-field type…
We present structure preserving integrators for solving linear quadratic optimal control problems. This problem requires the numerical integration of matrix Riccati differential equations whose exact solution is a symmetric positive…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-loop equilibrium control and a linear feedback equilibrium…
In this paper, we investigate the closed-loop solvability of the quantum stochastic linear quadratic optimal control problem. We derive the Pontryagin maximum principle for the linear quadratic control problem of infinite-dimensional…
We present a novel method of optimal robust control through quadratic programs that offers tracking stability while subject to input and state-based constraints as well as safety-critical constraints for nonlinear dynamical robotic systems…
This paper is concerned with the robustness of discrete-time Markov jump linear systems (MJLSs) with the Markov chain on a Borel space. For this general class of MJLSs, a small gain theorem is first established and subsequently applied to…
We investigated a cost-constrained static ergodic control problem of the variance of measure-valued affine processes and its application in streamflow management. The controlled system is a jump-driven mixed moving average process that…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
Robust Markov decision processes (RMDPs) extend standard Markov decision processes (MDPs) to account for uncertainty in the transition probabilities. RMDPs have an uncertainty set that defines a set of possible transition functions, each of…
A novel method of an adaptive linear quadratic (LQ) regulation of uncertain continuous linear time-invariant systems is proposed. Such an approach is based on the direct self-tuning regulators design framework and the exponentially stable…
A linear quadratic optimal stochastic control problem with random coefficients and indefinite state/control weight costs is usually linked to an indefinite stochastic Riccati equation (SRE) which is a matrix-valued quadratic backward…
We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…
This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…