Related papers: Constructing the Optimal Solutions to the Undiscou…
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we…
We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.
This paper describes the structure of optimal policies for discounted periodic-review single-commodity total-cost inventory control problems with fixed ordering costs for finite and infinite horizons. There are known conditions in the…
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our…
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
We examine the problem of two-point boundary optimal control of nonlinear systems over finite-horizon time periods with unknown model dynamics by employing reinforcement learning. We use techniques from singular perturbation theory to…
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite…
In the paper we consider the infinite horizon control problems on the interval with free right-hand endpoint. We obtain the necessary conditions of strict optimality. The method of the proof actually follows the classic paper by Halkin, and…
In the context of Markov decision processes running in continuous time, one of the most intriguing challenges is the efficient approximation of finite horizon reachability objectives. A multitude of sophisticated model checking algorithms…
We consider semilinear parabolic optimal control problems subject to Neumann boundary conditions, control constraints, and an infinite time horizon. The control constraints are pointwise in time, but they can be pointwise or integral in the…
The famous proof of the Pontryagin maximum principle for control problems on a finite horizon bases on the needle variation technique, as well as the separability concept of cones created by disturbances of the trajectories. In this…
We present a hierarchical computation approach for solving finite-time optimal control problems using operator splitting methods. The first split is performed over the time index and leads to as many subproblems as the length of the…
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…
This paper focuses on infinite-horizon optimal control problems for dissipative systems and the relations to their finite-horizon formulations. We show that, for a large class of problems, dissipativity of the state equation, when a…
This paper presents a novel numerical optimisation method for infinite dimensional optimisation. The functional optimisation makes minimal assumptions about the functional and without any specific knowledge on the derivative of the…
This paper addresses the question whether there are numerical schemes for constant-coefficient advection problems that can yield convergent solutions for an infinite time horizon. The motivation is that such methods may serve as building…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
We study the problem of optimizing nonlinear objective functions over bipartite matchings. While the problem is generally intractable, we provide several efficient algorithms for it, including a deterministic algorithm for maximizing convex…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment. Different from [17], the cost functionals do not have…