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Optimization algorithms are increasingly being used in applications with limited time budgets. In many real-time and embedded scenarios, only a few iterations can be performed and traditional convergence metrics cannot be used to evaluate…
We consider an extension of the well-known Hamilton-Jacobi-Bellman (HJB) equation for fractional order dynamical systems in which a generalized performance index is considered for the related optimal control problem. Owing to the…
Designing optimal controllers for nonlinear dynamical systems often relies on reinforcement learning and adaptive dynamic programming (ADP) to approximate solutions of the Hamilton Jacobi Bellman (HJB) equation. However, these methods…
Non-dominated sorting is a fundamental combinatorial problem in multiobjective optimization, and is equivalent to the longest chain problem in combinatorics and random growth models for crystals in materials science. In a previous work, we…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
Under suitable growth and coercivity conditions on the nonlinear damping operator $g$ which ensure non-resonance, we estimate the ultimate bound of the energy of the general solution to the equation $\ddot{u}(t) + Au(t) +…
We study the asymptotic behavior of solutions to the second boundary value problem for a parabolic PDE of Monge-Amp\`ere type arising from optimal mass transport. Our main result is an exponential rate of convergence for solutions of this…
We consider a nonlinear Dirichlet problem driven by a nonhomogeneous differential operator with a growth of order $(p-1)$ near $+\infty$ and with a reaction which has the competing effects of a parametric singular term and a…
This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…
Recent results in the study of the Hamilton Jacobi Bellman (HJB) equation have led to the discovery of a formulation of the value function as a linear Partial Differential Equation (PDE) for stochastic nonlinear systems with a mild…
This paper presents a two-stage framework for constrained near-optimal feedback control of input-affine nonlinear systems. An approximate value function for the unconstrained control problem is computed offline by solving the…
This paper, focusing on the growth rate of the measure, gives pointwise bounds of solutions of eigenvalue equations of the Laplace-Beltrami operator on noncompact Riemannian manifolds.
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
This paper develops a comprehensive framework for optimal control of systems governed by fractional backward stochastic evolution equations (FBSEEs) in Hilbert spaces. We first establish a stochastic maximum principle (SMP) as a necessary…
We model the stock price dynamics through a semi-Markov process obtained using a Poisson random measure. We establish the existence and uniqueness of the classical solution of a non-homogeneous terminal value problem and we show that the…
The paper concerns the necessary maximum principle for robust optimal control problems of quadratic BSDEs. The coefficient of the systems depends on the parameter $\theta$, and the generator of BSDEs is of quadratic growth in $z$. Since the…
We extend the work on optimal investment and consumption of a population considered in [2] to a general stochastic setting over a finite time horizon. We incorporate the Cobb-Douglas production function in the capital dynamics while the…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
The purpose of this paper is to describe the numerical solution of the Hamilton-Jacobi-Bellman (HJB) for an optimal control problem for quantum spin systems. This HJB equation is a first order nonlinear partial differential equation defined…
A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…