Related papers: A Maximum Principle for Optimal Control of Stochas…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
In this paper we study optimal control problems governed by a semilinear elliptic equation. The equation is nonmonotone due to the presence of a convection term, despite the monotonocity of the nonlinear term. The resulting operator is…
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 study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
This paper deals with the optimal control of systems governed by nonlinear systems of conservation laws at junctions. The applications considered range from gas compressors in pipelines to open channels management. The existence of an…
It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with random coefficients. A solution to this problem is given in [21]…
This paper investigates a class of controlled stochastic partial differential equations (SPDEs) arising in the modeling of composite materials with spatially varying properties. The state equation describes the evolution of a material…
In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…
An optimal control problem on finite-dimensional positive cones is stated. Under a critical assumption on the cone, the corresponding Bellman equation is satisfied by a linear function, which can be computed by convex optimization. A…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
A method of optimal control computation is proposed for problems with control and state constraints. It uses a sequence of control structure adjustments in the form of generations and reductions of nodes and arcs, which do not change the…
This paper aims to introduce a concept of an equilibrium point of a dynamical system which will call it almost global asymptotically stable. A biological prey-predator model is also analyzed with a modification function growth in prey…
In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle (SMP) for optimal control of stochastic differential equations (SDEs) of mean-field type, in…
This paper investigates the relationship between Pontryagin's maximum principle and dynamic programming principle in the context of stochastic optimal control systems governed by stochastic evolution equations with random coefficients in…
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, and their modern exposition with…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…