Related papers: Stochastic minimum-energy control
It has recently been shown that the minimum energy solution of the control problem for a linear system produces a control trajectory that is nonlocal. An issue then arises when the dynamics represents a linearization of the underlying…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
The aim of this paper is to shed light on the problem of controlling a complex network with minimal control energy. We show first that the control energy depends on the time constant of the modes of the network, and that the closer the…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We consider a controlled-diffusion process pertaining to a chain of distributed systems with random perturbations that satisfies a weak H\"ormander type condition. In particular, we consider a stochastic control problem with the following…
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for…
We consider the actuator placement problem for linear systems. Specifically, we aim to identify an actuator which requires the least amount of control energy to drive the system from an arbitrary initial condition to the origin in the worst…
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…
Many techniques originally developed in the context of deterministic control theory have been recently applied to the quest for optimal protocols in stochastic processes. Given a system subject to environmental fluctuations, one may ask…
We reassess the concept of transition at minimum work in classical stochastic finite-time thermodynamics, when the system dynamics is modelled by a diffusion process. We show that a well-posed formulation of the optimal control problem…
Quantifying energy flows at nanometer scales promises to guide future research in a variety of disciplines, from microscopic control and manipulation, to autonomously operating molecular machines. A general understanding of the…
In this article, the optimal control problem for a harmonic oscillator with an inequality constraint is considered. The applied energy of the oscillator during a fixed final time period is used as the performance criterion. The analytical…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…
We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…
A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…