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Local Time Pushed Mixed Equilibrium Strategies for Time-Inconsistent Stopping Problems SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-04-09 Andi Bodnariu, Sören Christensen, Kristoffer Lindensjö
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1261-1290, April 2024. Abstract. We consider the game-theoretic approach to time-inconsistent stopping of a one-dimensional diffusion where the time-inconsistency is due to the presence of a nonexponential (weighted) discount function. In particular, we study (weak) equilibria for this problem in a novel class of mixed (i.e., randomized)
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A Phase Theory of Multi-Input Multi-Output Linear Time-Invariant Systems SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-04-08 Wei Chen, Dan Wang, Sei Zhen Khong, Li Qiu
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1235-1260, April 2024. Abstract. In this paper, we define the phase response for a class of multi-input multi-output (MIMO) linear time-invariant (LTI) systems whose frequency responses are (semi-)sectorial at all frequencies. The newly defined phase subsumes the well-known notion of positive real systems and is closely related to the
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A Reversible Investment Problem with Capacity and Demand in Finite Horizon: Free Boundary Analysis SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-04-03 Xiaoru Han, Fahuai Yi, Jianbo Zhang
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1207-1234, April 2024. Abstract. This paper investigates a reversible investment problem with finite horizon, in which a social planner aims to determine the project’s capacity level to minimize the expected total costs. These costs depend on the demand for the good, the supply in terms of production capacity, and the proportional costs
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Dynamic Programming in Probability Spaces via Optimal Transport SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-04-03 Antonio Terpin, Nicolas Lanzetti, Florian Dörfler
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1183-1206, April 2024. Abstract. We study discrete-time finite-horizon optimal control problems in probability spaces, whereby the state of the system is a probability measure. We show that, in many instances, the solution of dynamic programming in probability spaces results from two ingredients: (i) the solution of dynamic programming
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Exponential Stability for a Class of Discrete-Time Switched Systems and Its Applications to Multiagent Systems SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-04-01 Tao Liu, Jie Huang
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1165-1182, April 2024. Abstract. This paper studies the exponential stabilization problem for a class of discrete-time linear switched systems arising from establishing the output-based distributed observer and the output-based adaptive distributed observer for discrete-time linear leader systems over jointly connected switching networks
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Markov Chain Approximation for Hamilton–Jacobi–Bellman Equation with Absorbing Boundary SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-29 Itsuki Watanabe
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1152-1164, April 2024. Abstract. We consider the infinite horizon optimal control problems of the controlled Markov process. We verify the relationship between the controlled Markov process and its fluid limit by the viscosity solution approach. More precisely, we show that the value function of the controlled Markov process converges
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Global Output-Feedback Control by Exploiting High-Gain Dynamic-Compensation Mechanisms SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-26 Yuan Wang, Yungang Liu
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1122-1151, April 2024. Abstract. Currently, output-feedback control still necessitates severe constraints on systems, e.g., system nonlinearities cannot exceed certain degree and uncertainties should belong to specific types. In this paper, by exploiting dynamic-compensation mechanisms, we essentially extend system nonlinearities and
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Consensus-Based Optimization for Saddle Point Problems SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-25 Hui Huang, Jinniao Qiu, Konstantin Riedl
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1093-1121, April 2024. Abstract. In this paper, we propose consensus-based optimization for saddle point problems (CBO-SP), a novel multi-particle metaheuristic derivative-free optimization method capable of provably finding global Nash equilibria. Following the idea of swarm intelligence, the method employs two groups of interacting
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Convergence of Policy Gradient Methods for Finite-Horizon Exploratory Linear-Quadratic Control Problems SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-22 Michael Giegrich, Christoph Reisinger, Yufei Zhang
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1060-1092, April 2024. Abstract. We study the global linear convergence of policy gradient (PG) methods for finite-horizon continuous-time exploratory linear-quadratic control (LQC) problems. The setting includes stochastic LQC problems with indefinite costs and allows additional entropy regularizers in the objective. We consider a
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Control of a Linearized Viscous Liquid–Tank System with Surface Tension SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-21 Iasson Karafyllis, Miroslav Krstic
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1034-1059, April 2024. Abstract. This paper studies the linearization of the viscous tank–liquid system. The linearization of the tank–liquid system gives a high-order partial differential equation, which is a combination of a wave equation with Kelvin–Voigt damping and a Euler–Bernoulli beam equation. The single input appears in two
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Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-18 Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 982-1005, April 2024. Abstract. Given an [math]-dimensional stochastic process [math] driven by [math]-Brownian motions and Poisson random measures, we search for a probability measure [math], with minimal relative entropy to [math], such that the [math]-expectations of some terminal and running costs are constrained. We prove existence
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Stabilization of Continuous-Time Probabilistic Logical Networks Under Sampling Dwell Time Constraints SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-19 Lin Lin, James Lam, Min Meng, Xiaochen Xie, Panshuo Li, Daotong Zhang, Peng Shi
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 1006-1033, April 2024. Abstract.This paper investigates the sampled-data stabilization of continuous-time probabilistic logical control networks (CT-PLCNs). CT-PLCNs can provide quantitative and accurate descriptions for the transient kinetics in comparing discrete-time probabilistic logical control networks (DT-PLCNs). First, CT-PLCNs
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Stochastic Maximum Principle for Subdiffusions and Its Applications SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-14 Shuaiqi Zhang, Zhen-Qing Chen
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 953-981, April 2024. Abstract. In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov subdiffusion [math], which have mixed features of deterministic and stochastic controls. Here [math] is the standard Brownian motion on [math], and [math] is the inverse of a subordinator [math] with
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Stability Analysis for Nonlinear Neutral Stochastic Functional Differential Equations SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-07 Huabin Chen, Chenggui Yuan
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 924-952, April 2024. Abstract. This paper provides some sufficient conditions for the existence and uniqueness and the stochastic stability of the global solution for nonlinear neutral stochastic functional differential equations. When the drift term and the diffusion term satisfy a locally Lipschitz condition, and the Lyapunov monotonicity
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Viscosity Solutions for McKean–Vlasov Control on a Torus SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-05 H. Mete Soner, Qinxin Yan
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 903-923, April 2024. Abstract. An optimal control problem in the space of probability measures and the viscosity solutions of the corresponding dynamic programming equations defined using the intrinsic linear derivative are studied. The value function is shown to be Lipschitz continuous with respect to a smooth Fourier–Wasserstein metric
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Verification Methods for the Lyapunov–Krasovskii Functional Inequalities SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-04 Ali Diab, Giorgio Valmorbida, William Pasillas-Lépine
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 877-902, April 2024. Abstract. We study parameterizations of Lyapunov–Krasovskii functionals (LKFs) to analyze the stability of linear time-delay systems. We discuss the solution to the delay Lyapunov matrix, which constructs an LKF associated with a prescribed time derivative, and relate it to the approaches commonly used in the numerical
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Long-Run Impulse Control with Generalized Discounting SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-04 Damian Jelito, Łukasz Stettner
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 853-876, April 2024. Abstract. In this paper, we investigate the effects of applying generalized (nonexponential) discounting on a long-run impulse control problem for a Feller–Markov process. We show that the optimal value of the discounted problem is the same as the optimal value of its undiscounted version. Next, we prove that an
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On Global Approximate Controllability of a Quantum Particle in a Box by Moving Walls SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-04 Aitor Balmaseda, Davide Lonigro, Juan Manuel Pérez-Pardo
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 826-852, April 2024. Abstract. We study a system composed of a free quantum particle trapped in a box whose walls can change their position. We prove the global approximate controllability of the system: any initial pure state can be driven arbitrarily close to any target pure state in the Hilbert space of the free particle with a predetermined
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Learning Stationary Nash Equilibrium Policies in [math]-Player Stochastic Games with Independent Chains SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-03-01 S. Rasoul Etesami
SIAM Journal on Control and Optimization, Volume 62, Issue 2, Page 799-825, April 2024. Abstract. We consider a subclass of [math]-player stochastic games, in which players have their own internal state/action spaces while they are coupled through their payoff functions. It is assumed that players’ internal chains are driven by independent transition probabilities. Moreover, players can receive only
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Spectral Factorization of Rank-Deficient Rational Densities SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-20 Wenqi Cao, Anders Lindquist
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 776-798, February 2024. Abstract. Though there are hundreds of papers on rational spectral factorization, most of them are concerned with full-rank spectral densities. In this paper we propose a novel approach for spectral factorization of a rank-deficient spectral density, leading to a minimum-phase full-rank spectral factor, in both
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Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-16 Jingrui Sun, Jiongmin Yong
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 752-775, February 2024. Abstract. This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the (strong) exponential, integral, and mean-square turnpike properties
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Leader-Following Rendezvous Control for Generalized Cucker-Smale Model on Riemannian Manifolds SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-16 Xiaoyu Li, Yuhu Wu, Lining Ru
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 724-751, February 2024. Abstract. This paper studies a leader-following rendezvous problem for the generalized Cucker–Smale model, a double-integrator multiagent system, on some Riemannian manifolds. By using intrinsic properties of the covariant derivative, logarithmic map, and parallel transport on the Riemannian manifolds, we design
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On the Modeling of Impulse Control with Random Effects for Continuous Markov Processes SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-15 Kurt L. Helmes, Richard H. Stockbridge, Chao Zhu
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 699-723, February 2024. Abstract. The use of coordinate processes for the modeling of impulse control for general Markov processes typically involves the construction of a probability measure on a countable product of copies of the path space. In addition, admissibility of an impulse control policy requires that the random times of
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Optimal Control Duality and the Douglas–Rachford Algorithm SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-12 Regina S. Burachik, Bethany I. Caldwell, C. Yalçin Kaya, Walaa M. Moursi
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 680-698, February 2024. Abstract. We explore the relationship between the dual of a weighted minimum-energy control problem, a special case of linear-quadratic optimal control problems, and the Douglas–Rachford (DR) algorithm. We obtain an expression for the fixed point of the DR operator as applied to solving the optimal control problem
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Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-12 Denis Belomestny, John Schoenmakers
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 650-679, February 2024. Abstract. We develop a regression-based primal-dual martingale approach for solving discrete time, finite-horizon MDPs. The state and action spaces may be finite or infinite (but regular enough) subsets of Euclidean space. Consequently, our method allows for the construction of tight upper and lower-biased approximations
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A Stability Result for a Degenerate Beam Equation SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-09 Alessandro Camasta, Genni Fragnelli
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 630-649, February 2024. Abstract. We consider a beam equation in the presence of a leading degenerate operator which is not in divergence form. We impose clamped conditions where the degeneracy occurs and dissipative conditions at the other endpoint. We provide some conditions for the uniform exponential decay of solutions for the associated
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Optimal Control and Signaling Strategies of Control-Coding Capacity of General Decision Models: Applications to Gaussian Models and Decentralized Strategies SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-08 Charalambos D. Charalambous, Christos K. Kourtellaris, Ioannis Tzortzis
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 600-629, February 2024. Abstract. We investigate the control-coding (CC) capacity of general dynamical decision models (DMs) that involve nonlinear filtering, which is absent in the specific DMs investigated in [C. K. Kourtellaris and C. D. Charalambous, IEEE Trans. Inform. Theory, 64 (2018), pp. 4962–4992]. We derive characterizations
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Stability of Abstract Interconnected Systems with a Possibly Unstable Component SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-07 Ivan Atamas, Sergey Dashkovskiy, Vitalii Slynko
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 581-599, February 2024. Abstract. We consider an interconnection of a one-dimensional ODE and an infinite dimensional abstract differential equation in view of the asymptotic stability. Sufficient stability conditions are obtained under the assumption that the whole system is positive with respect to the Minkowski cone. The decoupled
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Exact Controllability for a Refined Stochastic Wave Equation SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-07 Zhonghua Liao, Qi Lü
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 563-580, February 2024. Abstract. In this paper, we obtain the exact controllability for a refined stochastic wave equation with three controls by establishing a novel Carleman estimate for a backward hyperbolic-like operator. Compared with the known result [Q. Lü and X Zhang, Mathematical Control Theory for Stochastic Partial Differential
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Exact Controllability and Stabilization for Linear Dispersive PDE’s on the Two-Dimensional Torus SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-07 Francisco J. Vielma-Leal, Ademir Pastor
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 539-562, February 2024. Abstract. The moment method is used to prove the exact controllability of a wide class of bidimensional linear dispersive PDE’s posed on the two-dimensional torus [math]. The control function is considered to be acting on a small vertical and horizontal strip of the torus. Our results apply to several well-known
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The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-06 Yueyang Zheng, Yaozhong Hu
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 509-538, February 2024. Abstract. In this paper we study the stochastic control problem of a partially observed (multidimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov transformation, we introduce and study new stochastic processes which are
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The Nonlocal Kelvin Principle and the Dual Approach to Nonlocal Control in the Conduction Coefficients SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-02 Anton Evgrafov, José C. Bellido
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 487-508, February 2024. Abstract. We explore the dual approach to nonlocal optimal control in the coefficients, specifically for a classical min-max problem which in this study is associated with a nonlocal scalar diffusion equation. We reformulate the optimal control problem utilizing a dual variational principle, which is expressed
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Admissibility and Observability of Jeffreys Type of Overdamped Second Order Linear Systems SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-02 Jian-Hua Chen, Xian-Feng Zhao, Hua-Cheng Zhou
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 466-486, February 2024. Abstract. We study Jeffreys-type overdamped second order linear systems with observed outputs in the setting of Hilbert spaces. The state equation comes from an overdamped second order linear partial differential equation which is wave-like but was proposed to describe heat conduction. It results from adopting
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Stabilization for Wave Equation with Localized Kelvin–Voigt Damping on Cuboidal Domain: A Degenerate Case SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-01 Zhong-Jie Han, Zhuangyi Liu, Kai Yu
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 441-465, February 2024. Abstract. In this paper, we study the stabilization issue for a multidimensional wave equation with localized Kelvin–Voigt damping on a cuboidal domain, in which the damping region does not satisfy the geometric control condition (GCC). The variable damping coefficient is assumed to be degenerate near the interface
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A Viscous Ergodic Problem with Unbounded and Measurable Ingredients, Part 1: HJB Equation SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-02-01 Hicham Kouhkouh
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 415-440, February 2024. Abstract. We address the problem of existence and uniqueness of solutions [math] to ergodic Hamilton–Jacobi–Bellman (HJB) equations of the form [math] in the whole space [math] with unbounded and merely measurable data and where [math] is a Bellman Hamiltonian. The method we use is different from classical approaches
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A Stability Dichotomy for Discrete-Time Linear Switching Systems in Dimension Two SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-31 Ian D. Morris
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 400-414, February 2024. Abstract. We prove that, for every discrete-time linear switching system in two complex variables and with finitely many switching states, either the system is Lyapunov stable or there exists a trajectory which escapes to infinity with at least linear speed. We also give a checkable algebraic criterion to distinguish
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Nonlinear Consensus+Innovations under Correlated Heavy-Tailed Noises: Mean Square Convergence Rate and Asymptotics SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-29 Manojlo Vukovic, Dusan Jakovetic, Dragana Bajovic, Soummya Kar
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 376-399, February 2024. Abstract. We consider distributed recursive estimation of consensus+innovations type in the presence of heavy-tailed sensing and communication noises. We allow that the sensing and communication noises are mutually correlated while independent and identically distributed in time, and that they may both have infinite
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Learning Optimal Policies in Potential Mean Field Games: Smoothed Policy Iteration Algorithms SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-24 Qing Tang, Jiahao Song
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 351-375, February 2024. Abstract. We introduce two smoothed policy iteration algorithms (SPIs) as rules for learning policies and methods for computing Nash equilibria in second order potential mean field games (MFGs). Global convergence is proved if the coupling term in the MFG system satisfies the Lasry–Lions monotonicity condition
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Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-23 Yunzhang Li, Xiaolu Tan, Shanjian Tang
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 326-350, February 2024. Abstract. 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 the weak convergence technique of Kushner and Dupuis [Numerical Methods for Stochastic Control Problems in
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Sampled-Data Finite-Dimensional Observer-Based Control of 1D Stochastic Parabolic PDEs SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-23 Pengfei Wang, Emilia Fridman
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 297-325, February 2024. Abstract. Sampled-data control of PDEs has become an active research area; however, existing results are confined to deterministic PDEs. Sampled-data controller design of stochastic PDEs is a challenging open problem. In this paper we suggest a solution to this problem for 1D stochastic diffusion-reaction equations
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Maximum Principles for Optimal Control Problems with Differential Inclusions SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-23 A. D. Ioffe
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 271-296, February 2024. Abstract. There are three different forms of adjoint inclusions that appear in the most advanced necessary optimality conditions for optimal control problems involving differential inclusions: Euler–Lagrange inclusion (with partial convexification) [A. D. Ioffe, J. Optim. Theory Appl., 182 (2019), pp. 285–309]
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MF-OMO: An Optimization Formulation of Mean-Field Games SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-22 Xin Guo, Anran Hu, Junzi Zhang
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 243-270, February 2024. Abstract. This paper proposes a new mathematical paradigm to analyze discrete-time mean-field games. It is shown that finding Nash equilibrium solutions for a general class of discrete-time mean-field games is equivalent to solving an optimization problem with bounded variables and simple convex constraints,
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Analysis of RHC for Stabilization of Nonautonomous Parabolic Equations Under Uncertainty SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-19 Behzad Azmi, Lukas Herrmann, Karl Kunisch
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 220-242, February 2024. Abstract. Stabilization of a class of time-varying parabolic equations with uncertain input data using receding horizon control (RHC) is investigated. The diffusion coefficient and the initial function are prescribed as random fields. We consider both cases: uniform and log-normal distributions of the diffusion
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Stochastic Fixed-Point Iterations for Nonexpansive Maps: Convergence and Error Bounds SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-18 Mario Bravo, Roberto Cominetti
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 191-219, February 2024. Abstract. We study a stochastically perturbed version of the well-known Krasnoselskii–Mann iteration for computing fixed points of nonexpansive maps in finite dimensional normed spaces. We discuss sufficient conditions on the stochastic noise and stepsizes that guarantee almost sure convergence of the iterates
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State Estimation with Event Sensors: Observability Analysis and Multi-sensor Fusion SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-17 Xinhui Liu, Kaikai Zheng, Dawei Shi, Tongwen Chen
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 167-190, February 2024. Abstract. This work investigates a state estimation problem for linear time-invariant systems based on polarized measurement information from event sensors. To enable estimator design, a new notion of observability, namely, [math]-observability is defined with the precision parameter [math] which relates to the
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Optimal Scheduling of Entropy Regularizer for Continuous-Time Linear-Quadratic Reinforcement Learning SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-17 Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 135-166, February 2024. Abstract. This work uses the entropy-regularized relaxed stochastic control perspective as a principled framework for designing reinforcement learning (RL) algorithms. Herein, an agent interacts with the environment by generating noisy controls distributed according to the optimal relaxed policy. The noisy policies
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On Converse Lyapunov Theorem for Fixed-Time Input-to-State Stability SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-12 Denis Efimov, Andrey Polyakov
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 118-134, February 2024. Abstract. Input-to-state stability is one of the most utilizable robust stability properties for nonlinear dynamical systems, while (nearly) fixed-time convergence is a kind of decay for trajectories of disturbance-free systems that is independent in initial conditions. The presence of both these features for
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The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-12 Tiziano De Angelis, Erik Ekström, Marcus Olofsson
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 91-117, February 2024. Abstract. Motivated by a new formulation of the classical dividend problem, we show that Peskir’s maximality principle can be transferred to singular stochastic control problems with two-dimensional degenerate dynamics and absorption along the diagonal of the state space. We construct an optimal control as a Skorokhod
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Extreme Occupation Measures in Markov Decision Processes with an Absorbing State SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-12 Alexey Piunovskiy, Yi Zhang
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 65-90, February 2024. Abstract. In this paper, we consider a Markov decision process (MDP) with a Borel state space [math], where [math] is an absorbing state (cemetery), and a Borel action space [math]. We consider the space of finite occupation measures restricted on [math] and the extreme points in it. It is possible that some strategies
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An Irreducible Linear Switching System Whose Unique Barabanov Norm Is Not Strictly Convex SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-10 Ian D. Morris
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 42-64, February 2024. Abstract. We construct a marginally stable linear switching system in continuous time, in four dimensions, and with three switching states, which is exponentially stable with respect to constant switching laws and which has a unique Barabanov norm, but such that the Barabanov norm fails to be strictly convex. This
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On BIBO Stability of Infinite-Dimensional Linear State-Space Systems SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-03 Felix L. Schwenninger, Alexander A. Wierzba, Hans Zwart
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 22-41, February 2024. Abstract. In this paper we consider bounded-input-bounded-output (BIBO) stability of systems described by infinite-dimensional linear state-space representations, filling the so far unattended gap of a formal definition and characterization of BIBO stability in this general case. Furthermore, we provide several
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Relaxed Excitation Conditions for Robust Identification and Adaptive Control Using Estimation with Memory SIAM J. Control Optim. (IF 2.2) Pub Date : 2024-01-03 Javier Gallegos, Norelys Aguila-Camacho
SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 1-21, February 2024. Abstract. In this paper, adaptive controllers are designed to track a given trajectory for linear and nonlinear systems. No condition on the tracked trajectory, other than continuity and boundedness, is needed to simultaneously ensure exponential convergence to the tracking reference, exponential convergence to
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Process-Controllability of Semilinear Evolution Equations and Applications SIAM J. Control Optim. (IF 2.2) Pub Date : 2023-12-07 Yixing Liang, Zhenbin Fan, Gang Li
SIAM Journal on Control and Optimization, Volume 61, Issue 6, Page 3664-3694, December 2023. Abstract. This article focuses on the controllability for a class of semilinear evolution equations and applications to some specific differential equations. Without assuming compactness or equicontinuity of the related semigroups, the existence of mild solutions of semilinear equations in Hilbert space is
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The Partial Controllability of Linear Stochastic Control Systems with Terminal Constraints and Its Applications to Game-Based Control Systems with Jumps SIAM J. Control Optim. (IF 2.2) Pub Date : 2023-12-07 Yuanzhuo Song
SIAM Journal on Control and Optimization, Volume 61, Issue 6, Page 3635-3663, December 2023. Abstract. In this paper, we consider the partial controllability of linear stochastic control systems with terminal constraints. Some necessary and sufficient conditions for this controllability are obtained with the help of backward stochastic differential equations (BSDEs). We establish the equivalence between
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Spike Variations for Stochastic Volterra Integral Equations SIAM J. Control Optim. (IF 2.2) Pub Date : 2023-12-07 Tianxiao Wang, Jiongmin Yong
SIAM Journal on Control and Optimization, Volume 61, Issue 6, Page 3608-3634, December 2023. Abstract. The spike variation technique plays a crucial role in deriving Pontryagin’s type maximum principle of optimal controls for ordinary differential equations (ODEs), partial differential equations (PDEs), stochastic differential equations (SDEs), and (deterministic forward) Volterra integral equations
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On Disturbance-to-State Adaptive Stabilization without Parameter Bound by Nonlinear Feedback of Delayed State and Input SIAM J. Control Optim. (IF 2.2) Pub Date : 2023-12-06 Iasson Karafyllis, Miroslav Krstic, Alexandros Aslanidis
SIAM Journal on Control and Optimization, Volume 61, Issue 6, Page 3584-3607, December 2023. Abstract. We complete the first step toward the resolution of several decades-old challenges in disturbance-robust adaptive control. For a scalar system with an unknown parameter for which no a priori bound is given, with a disturbance that is of unlimited magnitude and possibly persistent (not square integrable)
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An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems SIAM J. Control Optim. (IF 2.2) Pub Date : 2023-12-05 Zhengqi Lin, Andrzej Ruszczyński
SIAM Journal on Control and Optimization, Volume 61, Issue 6, Page 3559-3583, December 2023. Abstract. We introduce a distance between kernels based on the Wasserstein distances between their values, study its properties, and prove that it is a metric on an appropriately defined space of kernels. We also relate it to various modes of convergence in the space of kernels. Then we consider the problem
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Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems SIAM J. Control Optim. (IF 2.2) Pub Date : 2023-11-29 Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
SIAM Journal on Control and Optimization, Volume 61, Issue 6, Page 3526-3558, December 2023. Abstract. Despite its popularity in the reinforcement learning community, a provably convergent policy gradient method for continuous space-time control problems with nonlinear state dynamics has been elusive. This paper proposes proximal gradient algorithms for feedback controls of finite-time horizon stochastic
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Exact Controllability for a Schrödinger Equation with Dynamic Boundary Conditions SIAM J. Control Optim. (IF 2.2) Pub Date : 2023-11-17 Alberto Mercado, Roberto Morales
SIAM Journal on Control and Optimization, Volume 61, Issue 6, Page 3501-3525, December 2023. Abstract. In this paper, we study the controllability of a Schrödinger equation with mixed boundary conditions on disjoint subsets of the boundary: dynamic boundary condition of Wentzell type and Dirichlet boundary condition. The main result of this article is given by new Carleman estimates for the associated
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Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities SIAM J. Control Optim. (IF 2.2) Pub Date : 2023-11-17 Guomin Liu, Shanjian Tang
SIAM Journal on Control and Optimization, Volume 61, Issue 6, Page 3467-3500, December 2023. Abstract. We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum principle is given for the optimal control, allowing the control