Related papers: A stochastic maximum principle for backward delaye…
Minimax optimization problems have attracted a lot of attention over the past few years, with applications ranging from economics to machine learning. While advanced optimization methods exist for such problems, characterizing their…
We establish a Pontryagin maximum principle for discrete time optimal control problems under the following three types of constraints: a) constraints on the states pointwise in time, b) constraints on the control actions pointwise in time,…
This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms the…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded 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…
In this research paper, we examine an optimal control problem involving a dynamical system governed by a nonlinear Caputo fractional time-delay state equation. The primary objective of this study is to obtain the necessary conditions for…
We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switching modes and associated costs. We show that the optimal value…
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…
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
In this article we consider a stochastic optimal control problem where the dynamics of the state process, $X(t)$, is a controlled stochastic differential equation with jumps, delay and \emph{noisy memory}. The term noisy memory is, to the…
This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FSPDEs) and backward stochastic differential equations (BSDEs)…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
Dual control denotes a class of control problems where the parameters governing the system are imperfectly known. The challenge is to find the optimal balance between probing, i.e. exciting the system to understand it more, and caution,…
The general maximum principle is proved for an infinite dimensional controlled stochastic evolution system. The control is allowed to take values in a nonconvex set and enter into both drift and diffusion terms. The operator-valued backward…
A stochastic procedure is developed which allows one to express Pontryagin's maximum principle for dissipative quantum system solely in terms of stochastic wave functions. Time-optimal controls can be efficiently computed without computing…
In this paper we consider time-optimal control problems for systems with backlash. Such systems are described by second order differential equations coupled with restrictions modeling the inelastic shocks. A main feature of such systems is…
Direct methods for the simulation of optimal control problems apply a specific discretization to the dynamics of the problem, and the discrete adjoint method is suitable to calculate corresponding conditions to approximate an optimal…