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This article treats optimal sparse control problems with multiple constraints defined at intermediate points of the time domain. For such problems with intermediate constraints, we first establish a new Pontryagin maximum principle that…
Optimal control problems with oscillations (chattering controls) and concentrations (impulsive controls) can have integral performance criteria such that concentration of the control signal occurs at a discontinuity of the state signal.…
The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…
In this paper, we analyse control affine optimal control problems with a cost functional involving the absolute value of the control. The Pontryagin extremals associated with such systems are given by (possible) concatenations of bang arcs…
This paper investigates the optimal control problem for a class of discrete-time stochastic systems subject to additive and multiplicative noises. A stochastic Lyapunov equation and a stochastic algebra Riccati equation are established for…
In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…
In optimal control problems, there exist different kinds of extremals, that is, curves candidates to be solution: abnormal, normal and strictly abnormal. The key point for this classification is how those extremals depend on the cost…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
We consider an arbitrary network of $M/M/\infty$ queues with controlled transitions between queues. We consider optimal control problems where the costs are linear functions of the state and inputs over a finite or infinite horizon. We…
The key element of the approach to the theory of necessary conditions in optimal control discussed in the paper is reduction of the original constrained problem to unconstrained minimization with subsequent application of a suitable…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
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…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…
Mean field optimal control problems are a class of optimization problems that arise from optimal control when applied to the many body setting. In the noisy case one has a set of controllable stochastic processes and a cost function that is…
Computational level explanations based on optimal feedback control with signal-dependent noise have been able to account for a vast array of phenomena in human sensorimotor behavior. However, commonly a cost function needs to be assumed for…
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 article contributes to a framework for a computational indirect method based on the Pontryagin maximum principle to efficiently solve a class of state constrained time-optimal control problems in the presence of a time-dependent flow…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…