Related papers: Infinite horizon Stochastic Optimal Control for Vo…
We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
We investigate the problem of persistent monitoring, where a mobile agent has to survey multiple targets in an environment in order to estimate their internal states. These internal states evolve with linear stochastic dynamics and the…
A general problem in optimal control consists of finding a terminal reward that makes the value function independent of the horizon. Such a terminal reward can be interpreted as a max-plus eigenvector of the associated Lax-Oleinik…
This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain…
A learning technique for finite horizon optimal control problems and its approximation based on polynomials is analyzed. It allows to circumvent, in part, the curse dimensionality which is involved when the feedback law is constructed by…
In this work, we will investigate the question of optimal control for bilinear systems with constrained endpoint. The optimal control will be characterized through a set of unconstrained minimization problems that approximate the former.…
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
This paper is concerned with an optimal control problem subject to the $H^1$-critical defocusing semilinear wave equation on a smooth and bounded domain in three spatial dimensions. Due to the criticality of the nonlinearity in the wave…
Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs, in short) with closed control regions are formulated and studied. Instead of using spike variation method as one may imagine, here we turn to…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…
We investigate feedback control for infinite horizon optimal control problems for partial differential equations. The method is based on the coupling between Hamilton-Jacobi-Bellman (HJB) equations and model reduction techniques. It is…
We consider optimal control problems for discrete-time random dynamical systems, finding unique perturbations that provoke maximal responses of statistical properties of the system. We treat systems whose transfer operator has an $L^2$…
This paper is concerned with the problem of Model Predictive Control and Rolling Horizon Control of discrete-time systems subject to possibly unbounded random noise inputs, while satisfying hard bounds on the control inputs. We use a…
We consider a controlled state equation of parabolic type on the halfline $(0,+\infty)$ with boundary conditions of Dirichlet type in which the unknown is equal to the sum of the control and of a white noise in time. We study finite horizon…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
This paper presents a new and straightforward procedure for solving bilinear quadratic optimal control problem. In this method, first the original optimal control problem is transformed into a nonlinear twopoint boundary value problem…
This paper addresses the problem of finite horizon constrained robust optimal control for nonlinear systems subject to norm-bounded disturbances. To this end, the underlying uncertain nonlinear system is decomposed based on a first-order…
In this paper we study optimal control problems governed by a semilinear elliptic equation. The equation is nonmonotone due to the presence of a convection term, despite the monotonocity of the nonlinear term. The resulting operator is…