相关论文: Discretisation of stochastic control problems for …

We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…

The main objective of the present paper is to construct a new class of space-time discretizations for the stochastic $p$-Stokes system and analyze its stability and convergence properties. We derive regularity results for the approximation…

This paper presents a mathematical approach for improving the performance of a control system by modifying the time delay at certain operating conditions. This approach converts a continuous time loop into a discrete time loop. The formula…

Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves…

An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…

In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…

In this paper it is established that any jointly controllable, jointly observable, multi-channel, discrete or continuous time linear system with a strongly connected neighbor (communication) graph can be exponentially stabilized with any…

In this paper, a space-time discontinuous Galerkin finite element method for distributed optimal control problems governed by unsteady diffusion-convection-reaction equations with control constraints is studied. Time discretization is…

A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type…

In this paper, we introduce a novel approach to solve the (mean-covariance) steering problem for a fairly general class of linear continuous-time stochastic systems subject to input delays. Specifically, we aim at steering delayed linear…

In this brief note, we investigate some constructions of Lyapunov functions for stochastic discrete-time stabilizable dynamical systems, in other words, controlled Markov chains. The main question here is whether a Lyapunov function in some…

This paper studies optimal control and stabilization problems for continuous-time mean-field systems with input delay, which are the fundamental development of control and stabilization problems for mean-field systems. There are two main…

We consider a large family of discrete and continuous time controlled Markov processes and study an ergodic risk-sensitive minimization problem. Under a blanket stability assumption, we provide a complete analysis to this problem. In…

We consider recent work of Haber and Ruthotto 2017 and Chang et al. 2018, where deep learning neural networks have been interpreted as discretisations of an optimal control problem subject to an ordinary differential equation constraint. We…

This paper proposes a supervisory control structure for networked systems with time-varying delays. The control structure, in which a supervisor triggers the most appropriate controller from a multi-controller unit, aims at improving the…

This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…

The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…

We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…

In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…

In this study, we introduce numerical methods for discretizing continuous-time linear-quadratic optimal control problems (LQ-OCPs). The discretization of continuous-time LQ-OCPs is formulated into differential equation systems, and we can…