Related papers: The strict and relaxed stochastic maximum principl…
We consider stochastic optimal control of linear dynamical systems with additive non-Gaussian disturbance. We propose a novel, sampling-free approach, based on Fourier transformations and convex optimization, to cast the stochastic optimal…
In this paper we consider time-optimal control problems for systems with backlash. Such systems are described by second order differential equations coupled with restrictions modeling the inelastic shocks. A main feature of such systems is…
We consider covariance control problems for nonlinear stochastic systems. Our objective is to find an optimal control strategy to steer the state from an initial distribution to a terminal one with specified mean and covariance. This…
This paper continues the investigations from [7] and is concerned with the derivation of first-order conditions for a control constrained optimization problem governed by a non-smooth elliptic PDE. The control enters the state equation not…
A parametric constrained convex optimal control problem, where the initial state is perturbed and the linear state equation contains a noise, is considered in this paper. Formulas for computing the subdifferential and the singular…
This paper is concerned with optimal control of systems driven by G-stochastic differential equations (G-SDEs), with controlled jump term. We study the relaxed problem, in which admissible controls are measurevalued processes and the state…
This paper presents a strictly convex chance-constrained stochastic control framework that accounts for uncertainty in control specifications such as reference trajectories and operational constraints. By jointly optimizing control inputs…
The relaxation systems are an important subclass of the passive systems that arise naturally in applications. We exploit the fact that they have highly structured state-space realisations to derive analytical solutions to some simple…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
An optimal control problem on finite-dimensional positive cones is stated. Under a critical assumption on the cone, the corresponding Bellman equation is satisfied by a linear function, which can be computed by convex optimization. A…
In this article, the sufficient Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function.…
A notion of $L^p$-exact controllability is introduced for linear controlled (forward) stochastic differential equations, for which several sufficient conditions are established. Further, it is proved that the $L^p$-exact controllability,…
We introduce the concept of a control contraction metric, extending contraction analysis to constructive nonlinear control design. We derive sufficient conditions for exponential stabilizability of all trajectories of a nonlinear control…
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…
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of stochastic control problems for stochastic Volterra equations (SVEs). Our study can be applied to rough processes that…
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…
For a class of stochastic delay evolution equations driven by cylindrical $Q$-Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal control problem. The delays are given as moving averages with…
This paper is concerned with necessary and sufficient conditions for near-optimal singular stochastic controls for systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on…
Conditions are established under which the optimal control of processes having both absolutely continuous and singular (with respect to time) controls are equivalent to linear programs over a space of measures on the state and control…
This paper examines the stochastic maximum principle (SMP) for a forward-backward stochastic control system where the backward state equation is characterized by the backward stochastic differential equation (BSDE) with quadratic growth and…