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math.OC2023
Mean-Covariance Steering of a Linear Stochastic System with Input Delay and Additive Noise
Gabriel Velho, Riccardo Bonalli, Jean Auriol +1
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 inpu…
math.OC2023
A Gradient Descent-Ascent Method for Continuous-Time Risk-Averse Optimal Control
Gabriel Velho, Jean Auriol, Riccardo Bonalli
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-…