Related papers: Minimax Impulse Control Problems in Finite Horizon
We study the optimal value function for control problems on Banach spaces that involve both continuous and discrete control decisions. For problems involving semilinear dynamics subject to mixed control inequality constraints, one can show…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon pro\-blems, and allow notably some coefficients to be stochastic. Extension to…
In the contest of optimal control problems, regularity results for optima are known when addressing fiber-strictly convex Lagrangian. For infinite time horizons, or for settings with infinite dimensional dynamics, the equivalence between…
We consider an optimal control problem for the obstacle problem with an elliptic variational inequality. The obstacle function which is the control function is assumed in $H^{2}$. We use an approximate technique to introduce a family of…
This manuscript studies the Minkowski-Bellman equation, which is the Bellman equation arising from finite or infinite horizon optimal control of unconstrained linear discrete time systems with stage and terminal cost functions specified as…
We consider an impulse control problem in infinite horizon. To solve this problem, we extend to the infinite horizon case results of double barrier reflected backward stochastic differential equations. The properties of the Snell envelope…
The hybrid optimal control problem with reach time to a target set is addressed and the continuity and uniqueness of the associated value function is proved. Hybrid systems involves interaction of different types of dynamics: continuous and…
A finite horizon optimal stopping problem for an infinite dimensional diffusion $X$ is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert space $\mathcal{H}$ with a non-linear diffusion coefficient…
This work analyzes how the trade-off between the modeling error, the terminal value function error, and the prediction horizon affects the performance of a nominal receding-horizon linear quadratic (LQ) controller. By developing a novel…
We examine the minimization of a quadratic cost functional composed of the output and the final state of abstract infinite-dimensional evolution equations in view of existence of solutions and optimality conditions. While the initial value…
Model Predictive Control (MPC) is a classic tool for optimal control of complex, real-world systems. Although it has been successfully applied to a wide range of challenging tasks in robotics, it is fundamentally limited by the prediction…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
This paper discusses the approximate controllability of a fractional differential control problem driven by a nonlinear hemivariational inequality in a Hilbert space. First, we prove the existence of a mild solution for a fractional control…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
We study infinite horizon control of continuous-time non-linear branching processes with almost sure extinction for general (positive or negative) discount. Our main goal is to study the link between infinite horizon control of these…
We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
In this paper, we consider a linear quadratic (LQ) optimal control problem in both finite and infinite dimensions. We derive an asymptotic expansion of the value function as the fixed time horizon T tends to infinity. The leading term in…