相关论文: Duality for Nonlinear Filtering II: Optimal Contro…

In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…

We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…

This paper deals with the optimization of Bolza problem with a system of convex and nonconvex, discrete and differential state variable inequality constraints of second order by deriving necessary and sufficient conditions for optimality.…

We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…

This paper considers the synthesis of optimal safe controllers based on density functions. We present an algorithm for robust constrained optimal control synthesis using the duality relationship between the density function and the value…

We consider the problem of nonlinear stochastic optimal control. This problem is thought to be fundamentally intractable owing to Bellman's "curse of dimensionality". We present a result that shows that repeatedly solving an open-loop…

A new formulation of the particle filter for nonlinear filtering is presented, based on concepts from optimal control, and from the mean-field game theory. The optimal control is chosen so that the posterior distribution of a particle…

In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation.…

In this work, we will investigate the question of optimal control for bilinear systems with constrained endpoint. The optimal control will be characterized through a set of unconstrained minimization problems that approximate the former.…

This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…

In this article we develop a duality principle suitable for a large class of problems in optimization. The main result is obtained through basic tools of convex analysis and duality theory. We establish a correct relation between the…

Dual control denotes a class of control problems where the parameters governing the system are imperfectly known. The challenge is to find the optimal balance between probing, i.e. exciting the system to understand it more, and caution,…

We explore the relationship between the dual of a weighted minimum-energy control problem, a special case of linear-quadratic optimal control problems, and the Douglas-Rachford (DR) algorithm. We obtain an expression for the fixed point of…

We present a new strategy for filtering high-dimensional multiscale systems characterized by high-order non-Gaussian statistics using observations from leading-order moments. A closed stochastic-statistical modeling framework suitable for…

We prove a stochastic maximum principle ofPontryagin's type for the optimal control of a stochastic partial differential equationdriven by white noise in the case when the set of control actions is convex. Particular attention is paid to…

The connections between optimal control and Bayesian inference have long been recognised, with the field of stochastic (optimal) control combining these frameworks for the solution of partially observable control problems. In particular,…

This paper revisits the partial information optimal control problem considered by Wang, Wu and Xiong [Wang et al 2013], where the system is derived by a controlled forward-backward stochastic differential equation with correlated noises…

This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…

We propose a primal--dual technique that applies to infinite dimensional equality constrained problems, in particular those arising from optimal control. As an application of our general framework, we solve a control-constrained double…

Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…