7 papers
A Gradient Method for Risk Averse Control of a PDE-SDE Interconnected System
Gabriel Velho, Jean Auriol, Riccardo Bonalli
In this paper, we design a risk-averse controller for an interconnected system composed of a linear Stochastic Differential Equation (SDE) actuated through a linear parabolic heat…
Optimal Control of an Interconnected SDE -Parabolic PDE System
Gabriel Velho, Jean Auriol, Islam Boussaada +1
In this paper, we design a controller for an interconnected system where a linear Stochastic Differential Equation (SDE) is actuated through a linear parabolic heat equation. These…
Stabilization and Optimal Control of an Interconnected Hetero-directional Hyperbolic PDE-SDE System
Gabriel Velho, Jean Auriol, Islam Boussaada +1
In this paper, we design a controller for an interconnected system composed of a linear Stochastic Differential Equation (SDE) controlled through a linear hetero-directional hyperb…
Stabilization and Optimal Control of Interconnected SDE - Scalar PDE System
Gabriel Velho, Jean Auriol, Riccardo Bonalli +1
In this paper, we design a controller for an interconnected system consisting of a linear Stochastic Differential Equation (SDE) actuated through a linear hyperbolic Partial Differ…
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…
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-…
First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems
Riccardo Bonalli, Benoît Bonnet
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose co…