Related papers: A patchy Dynamic Programming scheme for a class of…
Numerical algorithms for solving problems of mathematical physics on modern parallel computers employ various domain decomposition techniques. Domain decomposition schemes are developed here to solve numerically initial/boundary value…
This paper proposes an algorithmic technique for a class of optimal control problems where it is easy to compute a pointwise minimizer of the Hamiltonian associated with every applied control. The algorithm operates in the space of relaxed…
This paper proposes a new framework to model control systems in which a dynamic friction occurs. The model consists in a controlled differential inclusion with a discontinuous right hand side, which still preserves existence and uniqueness…
This paper addresses the efficient computation of Jacobian matrices for programs composed of sequential differentiable subprograms. By representing the overall Jacobian as a chain product of the Jacobians of these subprograms, we reduce the…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
The approximation of solutions to second order Hamilton--Jacobi--Bellman (HJB) equations by deep neural networks is investigated. It is shown that for HJB equations that arise in the context of the optimal control of certain Markov…
In this paper infinite horizon optimal control problems for nonlinear high-dimensional dynamical systems are studied. Nonlinear feedback laws can be computed via the value function characterized as the unique viscosity solution to the…
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…
In this article, we provide a numerical method based on fitted finite volume method to approximate the Hamilton-Jacobi-Bellman (HJB) equation coming from stochastic optimal control problems. The computational challenge is due to the nature…
We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…
The simulation of three dimensional magnetostatic problems plays an important role, for example when simulating synchronous electric machines. Building on prior work that developed a domain decomposition algorithm using isogeometric…
We investigate in this work a fully-discrete semi-Lagrangian approximation of second order possibly degenerate Hamilton-Jacobi-Bellman (HJB) equations on a bounded domain with oblique boundary conditions. These equations appear naturally in…
In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…
In this article, the notion of viscosity solution is introduced for the path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with the optimal control problems for path-dependent stochastic differential equations. We identify…
A dynamical programming approach is used to deal with the problem of controlling the directed abelian Dhar-Ramaswamy model on two-dimensional square lattice. Two strategies are considered to obtain explicit results to this task. First, the…
In optimal control problems defined on stratified domains, the dynamics and the running cost may have discontinuities on a finite union of submanifolds of RN. In [8, 5], the corresponding value function is characterized as the unique…
In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural networks: one to represent the optimal policy and the other to…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…