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In this paper, we consider the problem of multi-objective optimal control of a dynamical system with additive and multiplicative noises with given second moments and arbitrary probability distributions. The objectives are given by quadratic…
An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^\infty$-term. In addition to the classical…
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…
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…
In this paper, we study the problem of how to optimally steer the state covariance of a general continuous-time linear stochastic system over a finite time interval subject to additive noise. Optimality here means reaching a target state…
The Pontryagin's Maximum Principle allows, in most cases, the design of optimal controls of affine nonlinear control systems by considering the sign of a smooth function. There are cases, although, where this function vanishes on a whole…
Necessary optimality conditions and numerical methods for solving an optimal control problem for a linear continuous-time dynanical system with controlled coefficients and quadratic goal functional are discussed.
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
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…
We address the role of noise and the issue of efficient computation in stochastic optimal control problems. We consider a class of non-linear control problems that can be formulated as a path integral and where the noise plays the role of…
We consider optimal control problems, where the control appears in the main part of the operator. We derive the Pontryagin maximum principle as a necessary optimality condition. The proof uses the concept of topological derivatives. In…
This work aims to control the dynamics of certain non-Newtonian fluids in a bounded domain of $\mathbb{R}^d$, $d=2,3$ perturbed by a multiplicative Wiener noise, the control acts as a predictable distributed random force, and the goal is to…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
This paper is concerned with the partial information optimal control problem of mean-field type under partial observation, where the system is given by a controlled mean-field forward-backward stochastic differential equation with…
A parametric constrained convex optimal control problem, where the initial state is perturbed and the linear state equation contains a noise, is considered in this paper. Formulas for computing the subdifferential and the singular…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…
We consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…