Related papers: Necessary and sufficient optimality conditions for…
The entropy regularization is inspired by information entropy from machine learning and the ideas of exploration and exploitation in reinforcement learning, which appears in the control problem to design an approximating algorithm for the…
This paper deals with optimal control problems of integral equations, with initial-final and running state constraints. The order of a running state constraint is defined in the setting of integral dynamics, and we work here with…
This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
The paper is devoted to deriving necessary optimality conditions in a general optimal control problem for dynamical systems governed by controlled sweeping processes with hard-constrained control actions entering both polyhedral moving sets…
We establish the existence of both optimal relaxed controls and strict optimal controls for systems driven by Reflected Stochastic Differential Equations RSDEs. Our approach is based on weak convergence techniques for the associated RSDEs…
We propose a novel reformulation of the stochastic optimal control problem as an approximate inference problem, demonstrating, that such a interpretation leads to new practical methods for the original problem. In particular we characterise…
We present a general approach to prove existence of solutions for optimal control problems not based on typical convexity conditions which quite often are very hard, if not impossible, to check. By taking advantage of several relaxations of…
We consider in this paper, mixed relaxed-singular stochastic control problems, where the control variable has two components, the first being measure-valued and the second singular. The control domain is not necessarily convex and the…
In this paper we derive necessary optimality conditions for optimal control problems with nonlinear and nonsmooth implicit control systems. Implicit control systems have wide applications including differential algebraic equations (DAEs).…
This paper deals with optimal control problems for systems affine in the control variable. We consider nonnegativity constraints on the control, and finitely many equality and inequality constraints on the final state. First, we obtain…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
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 study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
We prove a sufficient optimality condition for non-linear optimal control problems with delays in both state and control variables. Our result requires the verification of a Hamilton-Jacobi partial differential equation and is obtained…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…