相关论文: Discretisation of stochastic control problems for …

A discrete-time method for solving problems in optimal quantum control is presented. Controlling the time discretized markovian dynamics of a quantum system can be reduced to a Markov-decision process. We demonstrate this method in this…

In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…

Time delays are ubiquitous in industry, and they must be accounted for when designing control strategies. However, numerical optimal control (NOC) of delay differential equations (DDEs) is challenging because it requires specialized…

In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…

We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…

We consider a class of stochastic optimal control problems with partial observation, and study their approximation by discrete-time control problems. We establish a convergence result by using weak convergence technique of Kushner and…

Stochastic dynamical systems are fundamental in state estimation, system identification and control. System models are often provided in continuous time, while a major part of the applied theory is developed for discrete-time systems.…

In this paper we consider an optimal control problem governed by a time-dependent variational inequality arising in quasistatic plasticity with linear kinematic hardening. We address certain continuity properties of the forward operator,…

We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…

The purpose of this work is the development of space-time discretization schemes for phase-field optimal control problems. First, a time discretization of the forward problem is derived using a discontinuous Galerkin formulation. Here, a…

Discrete-time stochastic systems are an essential modelling tool for many engineering systems. We consider stochastic control systems that are evolving over continuous spaces. For this class of models, methods for the formal verification…

We consider a wireless system with a small number of delay constrained users and a larger number of users without delay constraints. We develop a scheduling algorithm that reacts to time varying channels and maximizes throughput utility (to…

In this paper we study stochastic control problems with delayed information, that is, the control at time $t$ can depend only on the information observed before time $t-H$ for some delay parameter $H$. Such delay occurs frequently in…

In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate…

The optimal control of a mechanical system is of crucial importance in many realms. Typical examples are the determination of a time-minimal path in vehicle dynamics, a minimal energy trajectory in space mission design, or optimal motion…

Optimal control synthesis in stochastic systems with respect to quantitative temporal logic constraints can be formulated as linear programming problems. However, centralized synthesis algorithms do not scale to many practical systems. To…

This paper studies the properties of discrete time stochastic optimal control problems associated with portfolio selection. We investigate if optimal continuous time strategies can be used effectively for a discrete time market after a…

We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…

Efficiently computing the optimal control policy concerning a complicated future with stochastic disturbance has always been a challenge. The predicted stochastic future disturbance can be represented by a scenario tree, but solving the…

We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…