相关论文: Optimal strategies for a class of sequential contr…

In planning problems, it is often challenging to fully model the desired specifications. In particular, in human-robot interaction, such difficulty may arise due to human's preferences that are either private or complex to model.…

This paper studies a large number of homogeneous Markov decision processes where the transition probabilities and costs are coupled in the empirical distribution of states (also called mean-field). The state of each process is not known to…

Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…

We consider the problem of maximizing the expected average reward obtained over an infinite time horizon by $n$ weakly coupled Markov decision processes. Our setup is a substantial generalization of the multi-armed restless bandit problem…

Real-world distributed systems and networks are often unreliable and subject to random failures of its components. Such a stochastic behavior affects adversely the complexity of optimization tasks performed routinely upon such systems, in…

In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…

In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…

Model Predictive Control is an extremely effective control method for systems with input and state constraints. Model Predictive Control performance heavily depends on the accuracy of the open-loop prediction. For systems with uncertainty…

Multi-stage decision-making under uncertainty, where decisions are taken under sequentially revealing uncertain problem parameters, is often essential to faithfully model managerial problems. Given the significant computational challenges…

In this paper, we investigate how to achieve the unpredictability against malicious inferences for linear systems. The key idea is to add stochastic control inputs, named as unpredictable control, to make the outputs irregular. The future…

In this paper we formulate and solve an optimal problem for Stochastic process with a regime absorbing state. The solution for this problem is obtained through a system of partial differential equations. The method is applied to obtain an…

This paper considers risk-sensitive model predictive control for stochastic systems with a decision-dependent distribution. This class of systems is commonly found in human-robot interaction scenarios. We derive computationally tractable…

In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…

Optimal inventory leads to stochastic optimization problems where deterministic delivery decisions have to be made in advance of stochastic demand realizations. Similarly, risk deposits have to be given before the random outcomes of…

This paper proposes a form of MPC in which the control variables are moved asynchronously. This contrasts with most MIMO control schemes, which assume that all variables are updated simultaneously. MPC outperforms other control strategies…

We study stochastic optimization algorithms for constrained nonconvex stochastic optimization problems with Markovian data. In particular, we focus on the case when the transition kernel of the Markov chain is state-dependent. Such…

We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…

The problem of reconciling a prior probability law on paths with data was introduced by E. Schr\"odinger in 1931/32. It represents an early formulation of a maximum likelihood problem. This specific formulation can also be seen as the…

Decision-making problems often feature uncertainty stemming from heterogeneous and context-dependent human preferences. To address this, we propose a sequential learning-and-optimization pipeline to learn preference distributions and…

Under a Bayesian framework, we formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem, and derive the associated Bellman equation. Using value function…