Related papers: On the Solution of General Impulse Control Problem…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of…
In many naturally occurring optimization problems one needs to ensure that the definition of the optimization problem lends itself to solutions that are tractable to compute. In cases where exact solutions cannot be computed tractably, it…
We consider an impulse control problem in infinite horizon applied with switching technology. We suppose that the firm decides at certain moments (impulse moments) to switch technology, leading to a jump of the firm value. We show that the…
In this paper we consider the supervisory control problem through language equation solving. The equation solving approach allows to deal with more general topologies and to find a largest supervisor which can be used as a reservoir for…
We consider the problem of representing the value of singular stochastic control problems of linear diffusions as expected suprema. Setting the value accrued from following a standard reflection policy equal with the expected value of a…
Large-scale networked systems typically operate under resource constraints, and it is also difficult to exactly obtain the network structure between nodes. To address these issues, this paper investigates a sparse optimal control for…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
This paper presents a novel method to synthesize stochastic control Lyapunov functions for a class of nonlinear, stochastic control systems. In this work, the classical nonlinear Hamilton-Jacobi-Bellman partial differential equation is…
We consider the problem of optimal sparse output feedback controller synthesis for continuous linear time invariant systems when the feedback gain is static and subject to specified structural constraints. Introducing an additional term…
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
In this paper we study by probabilistic techniques the convergence of the value function for a two-scale, infinite-dimensional, stochastic controlled system as the ratio between the two evolution speeds diverges. The value function is…
This paper presents an algorithm to solve non-convex optimal control problems, where non-convexity can arise from nonlinear dynamics, and non-convex state and control constraints. This paper assumes that the state and control constraints…
This paper studies maximisation of an average-cost-per-unit-time ergodic functional over impulse strategies controlling a Feller-Markov process. The uncontrolled process is assumed to be ergodic but, unlike the extant literature, the…
A general bilinear optimal control problem subject to an infinite-dimensional state equation is considered. Polynomial approximations of the associated value function are derived around the steady state by repeated formal differentiation of…
We consider an eigenvalue problem for the biharmonic operator with Steklov-type boundary conditions. We obtain it as a limiting Neumann problem for the biharmonic operator in a process of mass concentration at the boundary. We study the…
We propose a comprehensive framework for policy gradient methods tailored to continuous time reinforcement learning. This is based on the connection between stochastic control problems and randomised problems, enabling applications across…
An optimal control for a dynamical system optimizes a certain objective function. Here we consider the construction of an optimal control for a stochastic dynamical system with a random structure, Poisson perturbations and random jumps,…
Using small noise limit approach, we study degenerate stochastic ergodic control problems and as a byproduct obtain error bounds for the $\varepsilon$-optimal controls. We also establish tunneling for a special ergodic control problem and…
In this letter we propose an optimization-based boundary controller for traffic flow dynamics capable of achieving both stability and invariance conditions. The approach is based on the definition of Boundary Control Barrier Functionals,…