Related papers: Optimal control with stochastic PDE constraints an…
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…
We study an optimal control problem for the stochastic wave equation driven by affine multiplicative noise, formulated as a stochastic linear-quadratic (SLQ) problem. By applying a stochastic Pontryagin's maximum principle, we characterize…
We study the numerical approximation of linear-quadratic optimal control problems subject to the fractional Laplace equation with its spectral definition. We compute an approximation of the state equation using a discretization of the…
We present a neural network approach for approximating the value function of high-dimensional stochastic control problems. Our training process simultaneously updates our value function estimate and identifies the part of the state space…
We consider the integral definition of the fractional Laplacian and analyze a linear-quadratic optimal control problem for the so-called fractional heat equation; control constraints are also considered. We derive existence and uniqueness…
We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…
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 present a control framework for stochastic compartmental models in epidemiology. In this framework, rather than directly controlling the stochastic system, we perform optimal control of an associated Fokker-Planck equation, with the goal…
This paper studies the partially observed stochastic optimal control problem for systems with state dynamics governed by partial differential equations (PDEs) that leads to an extremely large problem. First, an open-loop deterministic…
Optimal control of the singular nonlinear parabolic PDE which is a distributional formulation of multidimensional and multiphase Stefan-type free boundary problem is analyzed. Approximating sequence of finite-dimensional optimal control…
This paper consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modeled as additional food provided prey-predator system with Holling Type-III functional…
In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other…
The first-order optimality conditions for a generic nonlinear optimization problem are generated as part of the terminal transversality conditions of an optimal control problem. It is shown that the Lagrangian of the optimization problem is…
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…
This paper presents an algorithm to apply nonlinear control design approaches in the case of stochastic systems with partial state observation. Deterministic nonlinear control approaches are formulated under the assumption of full state…
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
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…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
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…