In this paper, we present connections between recent developments on the linearly-solvable stochastic optimal control framework with early work in control theory based on the fundamental dualities between free energy and relative entropy. We extend these connections to nonlinear stochastic systems with non-affine controls by using the generalized version of the Feynman–Kac lemma. We present alt...

We study the asymptotic optimal control of multi-class restless bandits. A restless bandit isa controllable stochastic process whose state evolution depends on whether or not the bandit ismade active. Since finding the optimal control is typically intractable, we propose a class of prioritypolicies that are proved to be asymptotically optimal under a global attractor property an...

We introduce a technique for quantifying and then exploiting uncertainty in nonlinear stochastic control systems. The approach is suboptimal though robust and relies upon the approximation of the forward and inverse plant models by neural networks, which also estimate the intrinsic uncertainty. Sampling from the resulting Gaussian distributions of the inversion based neurocontroller allows us t...

In this paper we study a class of optimal stochastic control problems involving two different time scales. The fast mode of the system is represented by deterministic state equations whereas the slow mode of the system corresponds to a jump disturbance process. Under a fundamental ”ergodicity” property for a class of ”infinitesimal control systems” associated with the fast mode, we show that th...

Recently, feedback control systems using random dither quantizers have been proposed for linear discrete-time systems. However, the constraints imposed on state and control variables have not yet been taken into account for the design of feedback control systems with random dither quantization. Model predictive control is a kind of optimal feedback control in which control performance over a fi...

This paper considers a optimal control analysis of a non -linear dynamical system of linear quadratic control. It is shown the difference between the stochastic and deterministic control system and for the occurrence of symmetry breaking as a function of the noise is included to formulate the stochastic model. For the Deterministic optimal control problem existence of optimal control is proved ...

The secondary scope of this lib is a robot simulator (namespace ors) that provides the necessary inputs to the methods above. Using this simulator is optional – it is provided only for completeness of the lib (and I use it in my work). But all the methods above can also be linked to your own simulation environment. My ors imlementation tries to be minimalistic in its core, but can link to many ...