相关论文: Risk-averse optimal control of random elliptic var…
In this paper we propose a new finite element method for solving elliptic optimal control problems with pointwise state constraints, including the distributed controls and the Dirichlet or Neumann boundary controls. The main idea is to use…
In a typical stochastic multi-armed bandit problem, the objective is often to maximize the expected sum of rewards over some time horizon $T$. While the choice of a strategy that accomplishes that is optimal with no additional information,…
While many techniques have been developed for chance constrained stochastic optimal control with Gaussian disturbance processes, far less is known about computationally efficient methods to handle non-Gaussian processes. In this paper, we…
In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
This work addresses the problem of vehicle path planning in the presence of obstacles and uncertainties, which is a fundamental problem in robotics. While many path planning algorithms have been proposed for decades, many of them have dealt…
In this paper, we present a novel stochastic method for solving variational inequalities (VI) in the context of Markovian noise. By leveraging Extragradient technique, we can productively solve VI optimization problems characterized by…
In this paper, we propose two new solution schemes to solve the stochastic strongly monotone variational inequality problems: the stochastic extra-point solution scheme and the stochastic extra-momentum solution scheme. The first one is a…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
This paper addresses a class of robust stochastic optimal control problems. Its main contribution lies in the introduction of a general optimization model with variance penalization and an associated solution algorithm that improves…
This paper addresses two minimum reaching time control problems within the context of finite stable systems. The well-known Variable Structure Control (VSC) and Unity Vector Control (UVC) strategies are analyzed, with the primary objective…
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…
This paper is concerned with an optimal control problem governed by a non-smooth semilinear elliptic equation. We show that the control-to-state mapping is directionally differentiable and precisely characterize its Bouligand…
The risk-neutral LQR controller is optimal for stochastic linear dynamical systems. However, the classical optimal controller performs inefficiently in the presence of low-probability yet statistically significant (risky) events. The…
We consider the stochastic variational inequality problem in which the map is expectation-valued in a component-wise sense. Much of the available convergence theory and rate statements for stochastic approximation schemes are limited to…
The challenge of constructing feedback control laws for risk-averse optimal control of partial differential equations (PDEs) with random coefficients is addressed. The control objective composes a tracking-type cost with the nonlinear…
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous…
We study a pointwise tracking optimal control problem for the stationary Navier--Stokes equations; control constraints are also considered. The problem entails the minimization of a cost functional involving point evaluations of the state…
We derive error estimates for a linear-quadratic elliptic distributed optimal control problem with pointwise control constraints that can be applied to standard finite element methods and multiscale finite element methods.
The present paper represents a continuation of our previous one. There, a continuous dependence result for the solution of an elliptic variational-hemivariational inequality was obtained and then used to prove the existence of optimal pairs…