Related papers: Control Theory and Experimental Design in Diffusio…
We present a novel simulation-free framework for training continuous-time diffusion processes over very general objective functions. Existing methods typically involve either prescribing the optimal diffusion process -- which only works for…
Reaction-diffusion systems offer a powerful framework for understanding self-organized patterns in biological systems, yet controlling these patterns remains a significant challenge. As a consequence, we present a rigorous framework of…
We study a class of two-sided optimal control problems of general linear diffusions under a so-called Poisson constraint: the controlling is only allowed at the arrival times of an independent Poisson signal processes. We give a weak and…
A new formulation of the particle filter for nonlinear filtering is presented, based on concepts from optimal control, and from the mean-field game theory. The optimal control is chosen so that the posterior distribution of a particle…
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
Travelling wave solutions of reaction-diffusion equations are widely used to model the spatial spread of populations and other phenomena in biology and physics. In this article, we reinterpret the classical variational principle approach…
This paper is to investigate the control problem of maximizing the net benefit of a single species while the cost of the resource allocation is minimized in a population model which can be described by a reaction diffusion advection…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
Model-based experimental design is attracting increasing attention in chemical process engineering. Typically, an iterative procedure is pursued: an approximate model is devised, prescribed experiments are then performed and the resulting…
Over the recent past data-driven algorithms for solving stochastic optimal control problems in face of model uncertainty have become an increasingly active area of research. However, for singular controls and underlying diffusion dynamics…
In this paper, we consider a risk-averse control problem for diffusion processes, in which there is a partition of the admissible control strategy into two decision-making groups (namely, the {\it leader} and {\it follower}) with different…
Linear diffusion processes serve as canonical continuous-time models for dynamic decision-making under uncertainty. These systems evolve according to drift matrices that specify the instantaneous rates of change in the expected system…
In this paper, we consider an optimal distributed control problem for a reaction-diffusion-based SIR epidemic model with human behavioral effects. We develop a model wherein non-pharmaceutical intervention methods are implemented, but a…
We present a formulation of an optimal control problem for a two-dimensional diffusion process governed by a Fokker-Planck equation to achieve a nonequilibrium steady state with a desired circulation while accelerating convergence toward…
In this paper, we address a social planner's optimal control problem for a partially observable stochastic epidemic model. The control measures include social distancing, testing, and vaccination. Using a diffusion approximation for the…