Related papers: Constructing the Optimal Solutions to the Undiscou…
Infinite horizon optimization problems accompany two perplexities. First, the infinite series of utility sequences may diverge. Second, boundary conditions at the infinite terminal time may not be rigorously expressed. In this paper, we…
We aim to generalize the results of Cai and Nitta (2007) by allowing both the utility and production function to depend on time. We also consider an additional intertemporal optimality criterion. We clarify the conditions under which the…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
Necessary optimality conditions in the form of the maximum principle for control problems with infinite time horizon are considered. Both finite and infinite values of objective functional are allowed since the concept of overtaking or…
Energy storage scheduling problems, where a storage is operated to maximize its profit in response to a price signal, are essentially infinite-horizon optimization problems as storage systems operate continuously, without a foreseen end to…
This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. We establish that these problems are related to certain infinite-dimensional linear…
We study so{\`u}e infinite-horizon optimization problems on spaces of periodic functions for non periodic Lagrangians. The main strategy relies on the reduction to finite horizon thanks in the introduction of an avering operator.We then…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
Infinite horizon open loop optimal control problems for semilinear parabolic equations are investigated. The controls are subject to a cost-functional which promotes sparsity in time. The focus is put on deriving first order optimality…
We obtain necessary optimality conditions for higher-order infinite horizon problems of the calculus of variations via discrete quantum operators.
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…
We introduce a model of infinite horizon linear dynamic optimization with linear constraints and obtain results concerning feasibility of trajectories and optimal solutions necessarily satisfying conditions that resemble the Euler condition…
This paper considers the infinite horizon optimal control problem for nonlinear systems. Under the condition of nonlinear controllability of the system to any terminal set containing the origin and forward invariance of the terminal set, we…
We present the theoretical analysis and proofs of a recently developed algorithm that allows for optimal planning over long and infinite horizons for achieving multiple independent tasks that are partially observable and evolve over time.
In this paper, we consider undiscouted infinite-horizon optimal control for deterministic systems with an uncountable state and input space. We specifically address the case when the classic value iteration does not converge. For such…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
Discrete-time robust optimal control problems generally take a min-max structure over continuous variable spaces, which can be difficult to solve in practice. In this paper, we extend the class of such problems that can be solved through a…