Related papers: Dynamic programming for infinite horizon boundary …
The design of an automated vehicle controller can be generally formulated into an optimal control problem. This paper proposes a continuous-time finite-horizon approximate dynamicprogramming (ADP) method, which can synthesis off-line…
Adaptive optimal control of nonlinear dynamic systems with deterministic and known dynamics under a known undiscounted infinite-horizon cost function is investigated. Policy iteration scheme initiated using a stabilizing initial control is…
This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…
The Hamilton-Jacobi-Bellman equation (HJB) associated with the time inhomogeneous singular control problem is a parabolic partial differential equation, and the existence of a classical solution is usually difficult to prove. In this paper,…
In this paper, we study backward doubly stochastic recursive optimal control problem where the cost function is described by the solution of a backward doubly stochastic differential equation. We give the dynamical programming principle for…
This paper addresses the optimal control problem of finite-horizon discrete-time nonlinear systems under state and control constraints. A novel numerical algorithm based on optimal control theory is proposed to achieve superior…
Feedback controllers for port-Hamiltonian systems reveal an intrinsic inverse optimality property since each passivating state feedback controller is optimal with respect to some specific performance index. Due to the nonlinear…
This survey collects, within a unified framework, various results (primarily by the authors themselves) on the use of Deterministic Infinite-Dimensional Optimal Control Theory to address applied economic models. The main aim is to…
This paper establishes the existence and uniqueness of mild solutions to stationary Hamilton-Jacobi-Bellman (HJB) equations associated with infinite-horizon stochastic optimal control problems in separable Hilbert spaces. Our framework…
We analyze the infinite horizon minimax average cost Markov Control Model (MCM), for a class of controlled process conditional distributions, which belong to a ball, with respect to total variation distance metric, centered at a known…
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 consider a class of exit--time control problems for nonlinear systems with a nonnegative vanishing Lagrangian. In general, the associated PDE may have multiple solutions, and known regularity and stability properties do not hold. In this…
In this manuscript, we present a comprehensive theoretical and numerical framework for the control of production-destruction differential systems. The general finite horizon optimal control problem is formulated and addressed through the…
We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon…
We study an optimal investment and consumption problem over a finite-time horizon, in which an individual invests in a risk-free asset and a risky asset, and evaluate utility using a general utility function that exhibits loss aversion with…
This manuscript studies the Minkowski-Bellman equation, which is the Bellman equation arising from finite or infinite horizon optimal control of unconstrained linear discrete time systems with stage and terminal cost functions specified as…
We provide a solution to the problem of receding horizon control for stochastic discrete-time systems with bounded control inputs and imperfect state measurements. For a suitable choice of control policies, we show that the finite-horizon…