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The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
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)…
Model predictive control offers a powerful framework for managing constrained systems, but its repeated online optimization can become computationally prohibitive. Multiparametric programming addresses this challenge by precomputing optimal…
We consider covariance control problems for nonlinear stochastic systems. Our objective is to find an optimal control strategy to steer the state from an initial distribution to a terminal one with specified mean and covariance. This…
In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's…
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…
In this paper we prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a finite dimensional stochastic differential equation, driven by a multidimensional Wiener process. We drop the usual…
An interesting family of geometric integrators for Lagrangian systems can be defined using discretizations of the Hamilton's principle of critical action. This family of geometric integrators is called variational integrators. In this…
The article is devoted to the problem of applying the maximum principle for finding optimal control parameters in simulation tasks of interest for a variety of engineering and industrial systems and processes. Especially important is the…
Time-irreversible stochastic processes are frequently used in natural sciences to explain non-equilibrium phenomena and to design efficient stochastic algorithms. Our main goal in this thesis is to analyse their dynamics by means of large…
In this article we derive a strong version of the Pontryagin Maximum Principle for general nonlinear optimal control problems on time scales in finite dimension. The final time can be fixed or not, and in the case of general boundary…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
The aim of this notes is to give a concise introduction to control theory for systems governed by stochastic partial differential equations. We shall mainly focus on controllability and optimal control problems for these systems. For the…
In this work, we consider optimal control problems for mechanical systems on vector spaces with fixed initial and free final state and a quadratic Lagrange term. Specifically, the dynamics is described by a second order ODE containing an…
The optimal control problem for open quantum systems can be formulated as a time-dependent Lindbladian that is parameterized by a number of time-dependent control variables. Given an observable and an initial state, the goal is to tune the…
In this work, we propose and study a new approach to formulate the optimal control problem of second-order differential equations, with a particular interest in those derived from force-controlled Lagrangian systems. The formulation results…
In this paper, we discuss a new general formulation of fractional optimal control problems whose performance index is in the fractional integral form and the dynamics are given by a set of fractional differential equations in the Caputo…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…