Related papers: Minimax Impulse Control Problems in Finite Horizon
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
Predictive control is frequently used for control problems involving constraints. Being an optimization based technique utilizing a user specified so-called stage cost, performance properties, i.e., bounds on the infinite horizon…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
We investigate a susceptible-infected-susceptible (SIS) epidemic model based on the Caputo-Fabrizio operator. After performing an asymptotic analysis of the system, we study a related finite horizon optimal control problem with state…
In the present paper, we study a two-player zero-sum deterministic differential game with both players adopting impulse controls, in infinite time horizon, under rather weak assumptions on the cost functions. We prove by means of the…
In this paper, a finite-horizon optimal control problem involving a dynamical system described by a linear Caputo fractional differential equation and a quadratic cost functional is considered. An explicit formula for the value functional…
We introduce a numerically stable reformulation of controllability scoring based on a scaled controllability Gramian, which remains reliably computable even for unstable systems. The resulting optimization problems define dynamics-aware…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…
The Receding Horizon Control (RHC) strategy consists in replacing an infinite-horizon stabilization problem by a sequence of finite-horizon optimal control problems, which are numerically more tractable. The dynamic programming principle…
We consider impulse control of stochastic functional differential equations (SFDEs) driven by L\'evy processes under an additional $L^p$-Lipschitz condition on the coefficients. Our results, which are first derived for a general stochastic…
In this paper, we study the $m$-states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central evaluation in cases…
We consider an exit-time minimum problem with a running cost, $l\geq 0$ and unbounded controls. The occurrence of points where $l=0$ can be regarded as a transversality loss. Furthermore, since controls range over unbounded sets, the family…
In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite…
We analyze the consequences that the so-called turnpike property has on the long-time behavior of the value function corresponding to a finite-dimensional linear-quadratic optimal control problem with general terminal cost and constrained…
We study the regularity properties of the value function associated with an affine optimal control problem with quadratic cost plus a potential, for a fixed final time and initial point. Without assuming any condition on singular…
We study optimal control problems governed by abstract infinite dimensional stochastic differential equations using the dynamic programming approach. In the first part, we prove Lipschitz continuity, semiconcavity and semiconvexity of the…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem…
In this paper, we consider discrete-time infinite horizon problems of optimal control to a terminal set of states. These are the problems that are often taken as the starting point for adaptive dynamic programming. Under very general…