Related papers: Maximum Principle for variational problems with sc…
In this paper, we discuss optimality conditions for optimization problems involving random state constraints, which are modeled in probabilistic or almost sure form. While the latter can be understood as the limiting case of the former, the…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
We study a model for the exploitation of renewable stocks developed in Clark et al. (Econometrica 47 (1979), 25-47). In this particular control problem, the control law contains a measurable and an impulsive control component. We formulate…
This paper addresses an optimal control problem governed by a rate independent evolution involving an integral operator. Its particular feature is that the dissipation potential depends on the history of the state. Because of the non-smooth…
We prove a Pontryagin Maximum Principle for optimal control problems in the space of probability measures, where the dynamics is given by a transport equation with non-local velocity. We formulate this first-order optimality condition using…
We find a maximum principle for general non-Markovian semi-martingales. We do so by describing the adjoint processes with non-anticipating stochastic derivatives in a martingale random field setting. In the case of the L\'evy processes this…
We show that the naive application of the maximum entropy principle can yield answers which depend on the level of description, i.e. the result is not invariant under coarse-graining. We demonstrate that the correct approach, even for…
In this paper, we consider the following non-linear equations in unbounded domains $\Omega$ with exterior Dirichlet condition: \begin{equation*}\begin{cases} (-\Delta)_p^s u(x)=f(u(x)), & x\in\Omega,\\ u(x)>0, &x\in\Omega,\\ u(x)\leq0,…
We systematically introduce an approach to the analysis and (numerical) solution of a broad class of nonlinear unconstrained optimal control problems, involving ordinary and distributed systems. Our approach relies on exact representations…
This paper is concerned with the derivation of necessary conditions for the optimal shape of a design problem governed by a non-smooth PDE. The main particularity thereof is the lack of differentiability of the nonlinearity in the state…
We derive a convex optimization problem on a steady-state nonequilibrium network of biochemical reactions, with the property that energy conservation and the second law of thermodynamics both hold at the problem solution. This suggests a…
We prove strong stationarity conditions for optimal control problems that are governed by a prototypical rate-independent evolution variational inequality, i.e., first-order necessary optimality conditions in the form of a primal-dual…
In this short communication, we first recall a version of the Pontryagin maximum principle for general finite-dimensional nonlinear optimal sampled-data control problems. This result was recently obtained in [L. Bourdin and E. Tr{\'e}lat ,…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
The paper is devoted to obtain first and second order necessary optimality conditions for continuous-time optimization problems with equality and inequality constraints. A full rank type regularity condition along with an uniform implicit…
This article considers a discrete-time robust optimal control problem on matrix Lie groups. The underlying system is assumed to be perturbed by exogenous unmeasured bounded disturbances, and the control problem is posed as a min-max optimal…