相关论文: Risk-Sensitive Stochastic Optimal Control as Rao-B…

Descriptor systems arise naturally in real-world applications governed by algebraic constraints, such as power networks, robotics and chemical processes. When a descriptor model contains a nontrivial nilpotent block, the discrete-time…

This paper deals with the question of how to most effectively conduct experiments in Partially Observed Markov Decision Processes so as to provide data that is most informative about a parameter of interest. Methods from Markov decision…

This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…

We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity…

In this article, we discuss two algorithms tailored to discrete-time deterministic finite-horizon nonlinear optimal control problems or so-called deterministic trajectory optimization problems. Both algorithms can be derived from an…

We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…

This paper proposes a fully data-driven approach for optimal control of nonlinear control-affine systems represented by a stochastic diffusion. The focus is on the scenario where both the nonlinear dynamics and stage cost functions are…

The importance of feedback control is being increasingly appreciated in quantum physics and applications. This paper describes the use of optimal control methods in the design of quantum feedback control systems, and in particular the paper…

In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…

Discrete-time stochastic optimal control remains a challenging problem for general, nonlinear systems under significant uncertainty, with practical solvers typically relying on the certainty equivalence assumption, replanning and/or…

The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…

This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…

The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…

We study the problem of pathwise stochastic optimal control, where the optimization is performed for each fixed realisation of the driving noise, by phrasing the problem in terms of the optimal control of rough differential equations. We…

This paper proposes a safety analysis method that facilitates a tunable balance between the worst-case and risk-neutral perspectives. First, we define a risk-sensitive safe set to specify the degree of safety attained by a stochastic…

Multi-objective Markov decision processes are a special kind of multi-objective optimization problem that involves sequential decision making while satisfying the Markov property of stochastic processes. Multi-objective reinforcement…

In this contribution, we derive ILEG, an iterative algorithm to find risk sensitive solutions to nonlinear, stochastic optimal control problems. The algorithm is based on a linear quadratic approximation of an exponential risk sensitive…

We propose policy gradient algorithms for solving a risk-sensitive reinforcement learning (RL) problem in on-policy as well as off-policy settings. We consider episodic Markov decision processes, and model the risk using the broad class of…

A classic reachability problem for safety of dynamic systems is to compute the set of initial states from which the state trajectory is guaranteed to stay inside a given constraint set over a given time horizon. In this paper, we leverage…

Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…