Related papers: Limit of the Solutions for the Finite Horizon Prob…
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 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…
This note further addresses the global optimization problem for max-plus linear systems considered in [Automatica 119 (2020) 109104]. Firstly, the operations between infinity elemens and real numbers involved in the formulas of solving…
We propose a new numerical method for solving the Hamilton-Jacobi-Bellman quasi-variational inequality associated with the combined impulse and stochastic optimal control problem over a finite time horizon. Our method corresponds to an…
This paper concerns a class of infinite horizon optimal control problems with state constraints. By extending the needle variation method to the infinite horizon case we obtain a complete set of necessary optimality conditions for a strong…
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…
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…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
This paper deals with the unconstrained and constrained cases for continuous-time Markov decision processes under the finite-horizon expected total cost criterion. The state space is denumerable and the transition and cost rates are allowed…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming…
This paper considers the problem of finding a solution to the finite horizon constrained Markov decision processes (CMDP) where the objective as well as constraints are sum of additive and multiplicative utilities. Towards solving this, we…
We investigate conditions of optimality for an infinite horizon control problem and consider their correspondence with the value function. Assuming Lipschitz continuity of the value function, we prove that sensitivity relations plus the…
We consider a risk-sensitive continuous-time Markov decision process over a finite time duration. Under the conditions that can be satisfied by unbounded transition and cost rates, we show the existence of an optimal policy, and 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…
This paper characterizes the solution to a finite horizon min-max optimal control problem where the system is linear and discrete-time with control and state constraints, and the cost quadratic; the disturbance is negatively costed, as in…
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…
This paper concerns the numerical solution of the finite-horizon Optimal Investment problem with transaction costs under Potential Utility. The problem is initially posed in terms of an evolutive HJB equation with gradient constraints. In…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
This paper investigates the necessary optimality conditions for uniformly overtaking optimal control on infinite horizon in the free end case. %with free right endpoint. In the papers of S.M.Aseev, A.V.Kryazhimskii, V.M.Veliov, K.O.Besov…