Related papers: Near-Optimal Mean-Variance Controls under Two-time…
This paper considers the linear-quadratic dual control problem where the system parameters need to be identified and the control objective needs to be optimized in the meantime. Contrary to existing works on data-driven linear-quadratic…
This paper investigates a multidimensional non-homogeneous stochastic linear-quadratic optimal control problem featuring random coefficients and a terminal mean-field term in the cost functional, enabling its direct application to…
We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be…
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…
Improving the powertrain control of heavy-duty vehicles can be an efficient way to reduce the fuel consumption and thereby reduce both the operating cost and the environmental impact. One way of doing so is by using information about the…
In this work, we consider the problem of steering the first two moments of the uncertain state of a discrete time nonlinear stochastic system to prescribed goal quantities at a given final time. In principle, the latter problem can be…
This paper presents a new fast and robust algorithm that provides fuel-optimal impulsive control input sequences that drive a linear time-variant system to a desired state at a specified time. This algorithm is applicable to a broad class…
In this paper, we discuss the approximate controllability for control systems governed by stochastic evolution hemivariational inequalities in Hilbert spaces. The interest in studying this type of equation comes from its application in some…
The present work deals with quantitative two-phase reach-avoid problems on nonlinear control systems. This class of optimal control problem requires the plant's state to visit two (rather than one) target sets in succession while minimizing…
The paper addresses the study of a class of evolutionary quasi-variational inequalities of the parabolic type arising in the formation and growth models of granular and cohensionless materials. Such models and their mathematical…
The paper deals with a problem of control of a system characterized by the fact that the influence of controls on the dynamics of certain functions of state variables (called observables) is relatively weak and the rates of change of these…
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.…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…
This paper studies the problem of steering the distribution of a linear time-invariant system from an initial normal distribution to a terminal normal distribution under no knowledge of the system dynamics. This data-driven control…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dynamic programming approach fails. We…