相关论文: Duality for Nonlinear Filtering II: Optimal Contro…
We consider a Bayesian adaptive optimal stochastic control problem where a hidden static signal has a non-separable influence on the drift of a noisy observation. Being allowed to control the specific form of this dependence, we aim at…
The well-posedness of a class of optimal control problems is analysed, where the state equation couples a nonlinear degenerate Fokker-Planck equation with a system of Ordinary Differential Equations (ODEs). Such problems naturally arise as…
In this paper, we study distributed estimation and control problems over graphs under partially nested information patterns. We show a duality result that is very similar to the classical duality result between state estimation and state…
We consider optimal signalling and control of discrete-time nonlinear partially observable stochastic systems in state space form. In the first part of the paper, we characterize the operational {\it control-coding capacity}, $C_{FB}$ in…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We systematically introduce an approach to the analysis and (numerical) solution of a broad class of nonlinear unconstrained optimal control problems, involving ordinary and distributed systems. Our approach relies on exact representations…
This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process $\nu$ whose components have paths of bounded variation. The presence of the process $\nu$ prevents from…
This paper is concerned with the null controllability for linear backward stochastic parabolic equations with dynamic boundary conditions and convection terms. Using the classical duality argument, the null controllability is obtained via…
This paper is addressed to studying the exact controllability for stochastic Schr\"{o}dinger equations by two controls. One is a boundary control in the drift term and the other is an internal control in the diffusion term. By means of the…
The paper addresses a continuous-time continuous-space chance-constrained stochastic optimal control (SOC) problem where the probability of failure to satisfy given state constraints is explicitly bounded. We leverage the notion of exit…
This paper considers the relaxed version of the transport problem for general nonlinear control systems, where the objective is to design time-varying feedback laws that transport a given initial probability measure to a target probability…
The paper presents an approach to studying optimal control problems in the space of nonnegative measures with dynamics given by a nonlocal balance law. This approach relies on transforming the balance law into a continuity equation in the…
Optimization methods are at the core of many problems in signal/image processing, computer vision, and machine learning. For a long time, it has been recognized that looking at the dual of an optimization problem may drastically simplify…
We study the problem of super-resolution, where we recover the locations and weights of non-negative point sources from a few samples of their convolution with a Gaussian kernel. It has been shown that exact recovery is possible by…
In this chapter, we are concerned with inverse optimal control problems, i.e., optimization models which are used to identify parameters in optimal control problems from given measurements. Here, we focus on linear-quadratic optimal control…
In standard treatments of stochastic filtering one first has to estimate the values of the parameters of the model. Simply running the filter without considering the reliability of this estimate does not take into account this additional…
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, and their modern exposition with…
This paper is concerned with a boundary control problem for the Cahn--Hilliard equation coupled with dynamic boundary conditions. In order to handle the control problem, we restrict our analysis to the case of regular potentials defined on…
Differential balancing theory for nonlinear model reduction relies on differential controllability and observability functions. In this paper, we further investigate them from two different perspectives. First, we establish novel…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…