Related papers: Optimal control problem of fully coupled forward-b…
We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an on-off input process. We study stochastic control problems associated with the long-run…
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…
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…
We propose a neural network approach to model general interaction dynamics and an adjoint based stochastic gradient descent algorithm to calibrate its parameters. The parameter calibration problem is considered as optimal control problem…
In this paper, we study numerical approximations for optimal control of a class of stochastic partial differential equations with partial observations. The system state evolves in a Hilbert space, whereas observations are given in…
Robust control of complex engineered and biological systems hinges on the integration of feedforward and feedback mechanisms. This is exemplified in neural motor control, where feedforward muscle co-contraction complements sensory-driven…
We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…
The purpose of this paper is two-fold: We extend the well-known relation between optimal stopping and randomized stopping of a given stochastic process to a situation where the available information flow is a filtration with no a priori…
Motivated by the applications, a class of optimal control problems is investigated, where the goal is to influence the behavior of a given population through another controlled one interacting with the first. Diffusive terms accounting for…
In this paper, we first introduce a new spatial-temporal interaction operator to describe the space-time dependent phenomena. Then we consider the stochastic optimal control of a new system governed by a stochastic partial differential…
We study a continuous time stochastic optimal control problem under partial observations that are available only at discrete time instants. This hybrid setting, with continuous dynamics and intermittent noisy measurements, arises in…
This paper considers the relaxed version of the transport problem for general nonlinear control systems, where the objective is to design time-varying feedback laws that transport a given initial probability measure to a target probability…
We study an optimal process control problem with multiple assignable causes. The process is initially in-control but is subject to random transition to one of multiple out-of-control states due to assignable causes. The objective is to find…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…
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…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
This paper concerns an optimal control problem $(P)$ related to a nonlinear Fokker-Planck equation. The problem is deeply related to a stochastic optimal control problem $(P_S)$ for a McKean-Vlasov equation. The existence of an optimal…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…