相关论文: Approximation of risk-averse optimal feedback cont…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
We consider the problem of inverse optimal control design for systems that are not affine in the control. In particular, we consider some classes of partial differential equations (PDEs) with quadratic convection and counter-convection, for…
We analyze a bilinear control problem governed by a semilinear parabolic equation. The control variable is the Robin coefficient on the boundary. First-order necessary and second-order sufficient optimality conditions are derived. A…
By computing a feedback control via the linear quadratic regulator (LQR) approach and simulating a non-linear non-autonomous closed-loop system using this feedback, we combine two numerically challenging tasks. For the first task, the…
This paper studies the partially observed stochastic optimal control problem for systems with state dynamics governed by partial differential equations (PDEs) that leads to an extremely large problem. First, an open-loop deterministic…
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems with random periodic coefficients. We put forward the random periodic mean-square exponentially stable condition, and prove the random…
We consider the Chance Constrained Model Predictive Control problem for polynomial systems subject to disturbances. In this problem, we aim at finding optimal control input for given disturbed dynamical system to minimize a given cost…
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…
In this article, we develop a posteriori error analysis of a nonconforming finite element method for a linear quadratic elliptic distributed optimal control problem with two different set of constraints, namely (i) integral state constraint…
We devise an a posteriori error estimator for an affine optimal control problem subject to a semilinear elliptic PDE and control constraints. To approximate the problem, we consider a semidiscrete scheme based on the variational…
We study a risk-averse optimal control problem for a finite-horizon Borel model, where a cumulative cost is assessed via exponential utility. The setting permits non-linear dynamics, non-quadratic costs, and continuous state and control…
The DPG method with optimal test functions for solving linear quadratic optimal control problems with control constraints is studied. We prove existence of a unique optimal solution of the nonlinear discrete problem and characterize it…
We present a review of methods for optimal experimental design (OED) for Bayesian inverse problems governed by partial differential equations with infinite-dimensional parameters. The focus is on problems where one seeks to optimize the…
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal…
This work presents the solution to a class of decentralized linear quadratic state-feedback control problems, in which the plant and controller must satisfy the same combination of delay and sparsity constraints. Using a novel decomposition…
We consider goal-oriented optimal design of experiments for infinite-dimensional Bayesian linear inverse problems governed by partial differential equations (PDEs). Specifically, we seek sensor placements that minimize the posterior…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…
We propose a policy iteration algorithm for solving the multiplicative noise linear quadratic output feedback design problem. The algorithm solves a set of coupled Riccati equations for estimation and control arising from a partially…
We investigate the application of a posteriori error estimates to a fractional optimal control problem with pointwise control constraints. Specifically, we address a problem in which the state equation is formulated as an integral form of…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in $L^1$ whose well-posedness is a subtle issue. A suitable framework has been adopted so that…