Related papers: Sufficient Stochastic Maximum Principle for Discou…
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 we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…
We establish a geometric Pontryagin maximum principle for discrete time optimal control problems on finite dimensional smooth manifolds under the following three types of constraints: a) constraints on the states pointwise in time, b)…
The verification theorem serving as an optimality condition for the optimal control problem, has been expected and studied for a long time. The purpose of this paper is to establish this theorem for control systems governed by stochastic…
Controllability maximization problem under sparsity constraints is a node selection problem that selects inputs that are effective for control in order to minimize the energy to control for desired state. In this paper we discuss the…
For an optimal control problem, the concept of a strong local infimum is introduce, for which necessary conditions consisting of some family of "maximum principles" are formulated. If a function delivers a strong local minimum in this…
We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator…
New form of sufficient optimality condition is obtained in comparison with the Mangasarian sufficiency theorem. Both finite and infinite values of objective functional are allowed since concepts of overtaking and weakly overtaking…
This paper is dedicated to the elementary proof of Pontryagin's maximum principle for problems with free right end point. The proof for the standard problem is taken from the monography of Ioffe and Tichomirov. We assume piecewise…
We present a Pontryagin maximum principle for discrete time optimal control problems with (a) pointwise constraints on the control actions and the states, (b) frequency constraints on the control and the state trajectories, and (c)…
In this paper, we establish some second order necessary/sufficient optimality conditions for optimal control problems of stochastic evolution equations in infinite dimensions. The control acts on both the drift and diffusion terms and the…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…
In the last decades, control problems with infinite horizons and discount factors have become increasingly central not only for economics but also for applications in artificial intelligence and machine learning. The strong links between…
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…
We consider an infinite-horizon optimal control problem with an asymptotic terminal constraint. For the the weakly overtaking criterion and the overtaking criterion, necessary boundary conditions on co-state arcs are deduced, these…
We study the time-optimal robust control of a two-level quantum system subjected to field inhomogeneities. We apply the Pontryagin Maximum Principle and we introduce a reduced space onto which the optimal dynamics is projected down. This…
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 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…
In this paper we combine two main topics in mechanics and optimal control theory: contact Hamiltonian systems and Pontryagin Maximum Principle. As an important result, among others, we develop a contact Pontryagin Maximum Principle that…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…