相关论文: Approximation of risk-averse optimal feedback cont…
In this paper, a quadratic optimal control problem is considered for second-order parabolic PDEs with homogeneous Dirichlet boundary conditions, in which the "point" control function (depending only on time) constitutes a source term. These…
This paper studies an optimal control problem governed by a semilinear elliptic equation, in which the control acts in a multiplicative or bilinear way as the reaction coefficient of the equation. We focus on the numerical discretization of…
We introduce an alternative approach for the analysis and numerical approximation of the optimal feedback control mapping. It consists in looking at a typical optimal control problem in such a way that feasible controls are mappings…
The purpose of this work is the design and analysis of a reliable and efficient a posteriori error estimator for the so-called pointwise tracking optimal control problem. This linear-quadratic optimal control problem entails the…
We consider a class of $\ell_0$-regularized linear-quadratic (LQ) optimal control problems. This class of problems is obtained by augmenting a penalizing sparsity measure to the cost objective of the standard linear-quadratic regulator…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
We propose a methodology for performing risk-averse quadratic regulation of partially observed Linear Time-Invariant (LTI) systems disturbed by process and output noise. To compensate against the induced variability due to both types of…
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain the state feedback representation of the optimal control, we…
In this paper we present a framework for risk-averse model predictive control (MPC) of linear systems affected by multiplicative uncertainty. Our key innovation is to consider time-consistent, dynamic risk metrics as objective functions to…
Optimal control problems driven by evolutionary partial differential equations arise in many industrial applications and their numerical solution is known to be a challenging problem. One approach to obtain an optimal feedback control is…
Feedback control problems involving autonomous polynomial systems are prevalent, yet there are limited algorithms and software for approximating their solution. This paper represents a step forward by considering the special case of the…
Motivated by an energy efficient building application, we want to optimize a quadratic cost functional subject to the Boussinesq approximation of the Navier-Stokes equations and to bilateral state and control constraints. Since the…
In this paper we use optimization-based methods to design output-feedback controllers for a class of one-dimensional parabolic partial differential equations. The output may be distributed or point-measurements. The input may be distributed…
Optimal control problems of tracking type for a class of linear systems with uncertain parameters in the dynamics are investigated. An affine tracking feedback control input is obtained by considering the minimization of an energy-like…
We present an optimization-based framework for analysis and control of linear parabolic partial differential equations (PDEs) with spatially varying coefficients without discretization or numerical approximation. For controller synthesis,…
We study a linear-quadratic, optimal control problem on a discrete, finite time horizon with distributional ambiguity, in which the cost is assessed via Conditional Value-at-Risk (CVaR). We take steps toward deriving a scalable dynamic…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…
In this work, we consider optimal control problems constrained by elliptic partial differential equations (PDEs) with lognormal random coefficients, which are represented by a countably infinite-dimensional random parameter with i.i.d.…
The optimal stochastic control problem with a quadratic cost functional for linear partial differential equations (PDEs) driven by a state-and control-dependent white noise is formulated and studied. Both finite-and infinite-time horizons…
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in…