Related papers: Optimal stopping and control near boundaries
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
This work deals with the existence of optimal solution and the maximum principle for optimal control problem governed by Navier-Stokes equations with state constraint in 3-D. Strong results in 2-D also are given.
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
We generalize the Maximum Principle for free end point optimal control problems involving sweeping systems derived in [9] to cover the case where the end point is constrained to take values in a certain set. As in [9], an ingenious smooth…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…
This paper studies the long-time behavior of optimal solutions for a class of linear-convex optimal control problems. We focus on a partial exponential turnpike property, established without imposing controllability or stabilizability…
We consider the problem of boundary control for a vibrating string with $N$ interior point masses. We assume the control is at the left end, and the string is fixed at the right end. Singularities in waves are "smoothed" out to one order as…
Given a survival distribution on the positive half-axis and a Brownian motion, a solution of the inverse first-passage problem consists of a boundary so that the first passage time over the boundary has the given distribution. We show that…
Traveling localized spots represent an important class of self-organized two-dimensional patterns in reaction-diffusion systems. We study open-loop control intended to guide a stable spot along a desired trajectory with desired velocity.…
We consider a vibrating string that is fixed at one end with Neumann control action at the other end. We investigate the optimal control problem of steering this system from given initial data to rest, in time T , by minimizing an objective…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
In this note, we show that a natural optimal control problem for the $\infty$-obstacle problem admits an optimal control which is also an optimal state. Moreover, we show the convergence of the minimal value of an optimal control problem…
We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stopping, for a robust evaluation that accounts for model…
We investigate how to control optimally a traffic flow through a junction on the line by acting only on speed reduction or traffic light at the junction. We show the existence of an optimal control and, under structure assumptions, provide…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
We investigate optimality conditions for optimization problems constrained by a class of variational inequalities of the second kind. Based on a nonsmooth primal-dual reformulation of the governing inequality, the differentiability of the…
In this work we study an optimal control problem subject to the instationary Navier-Stokes equations, where the control enters via an inhomogeneous Neumann/Do-Nothing boundary condition. Despite the Navier-Stokes equations with these…
This article deals with variational optimal-control problems on time scales in the presence of delay in the state variables. The problem is considered on a time scale unifying the discrete, the continuous and the quantum cases. Two examples…
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,…