Related papers: Optimal double control problem for a PDE model of …
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
This paper treats a distributed optimal control problem for a tumor growth model of Cahn-Hilliard type including chemotaxis. The evolution of the tumor fraction is governed by a variational inequality corresponding to a double obstacle…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…
We consider mean-field control problems in discrete time with discounted reward, infinite time horizon and compact state and action space. The existence of optimal policies is shown and the limiting mean-field problem is derived when the…
Autonomous systems often have logical constraints arising, for example, from safety, operational, or regulatory requirements. Such constraints can be expressed using temporal logic specifications. The system state is often partially…
In this paper, we address an optimal distributed control problem for a non-local model of phase-field type, describing the evolution of tumour cells in presence of a nutrient. The model couples a non-local and viscous Cahn-Hilliard equation…
We consider a control constrained parabolic optimal control problem and use variational discretization for its time semi-discretization. The state equation is treated with a Petrov-Galerkin scheme using a piecewise constant Ansatz for the…
We consider an optimal control problem governed by an elliptic variational inequality of the second kind. The problem is discretized by linear finite elements for the state and a variational discrete approach for the control. Based on a…
We propose and analyze a posteriori error estimators for an optimal control problem that involves an elliptic partial differential equation as state equation and a control variable that enters the state equation as a coefficient; pointwise…
In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative…
In this work, we present a second-order numerical scheme to address the solution of optimal control problems constrained by the evolution of nonlinear Fokker-Planck equations arising from socio-economic dynamics. In order to design an…
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in return of the risky asset price dynamic equation cannot be…
We consider the problem of controlling a Markov decision process (MDP) with a large state space, so as to minimize average cost. Since it is intractable to compete with the optimal policy for large scale problems, we pursue the more modest…
We present a new approach for studying the problem of optimal hedging of a European option in a finite and complete discrete-time market model. We consider partial hedging strategies that maximize the success probability or minimize the…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…
We consider a control-constrained optimal control problem subject to time-harmonic Maxwell's equations; the control variable belongs to a finite-dimensional set and enters the state equation as a coefficient. We derive existence of optimal…
A new formulation of Stochastic Model Predictive Output Feedback Control is presented and analyzed as a translation of Stochastic Optimal Output Feedback Control into a receding horizon setting. This requires lifting the design into a…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…