Related papers: Hamilton-Jacobi equations for optimal control on m…
We show how to optimally control the creation of quantum superpositions in a bosonic Josephson junction within the two-site Bose-Hubbard model framework. Both geometric and purely numerical optimal control approaches are used, the former…
This work concerns the optimal control problem for McKean-Vlasov SDEs. In order to characterize the value function, we develop the viscosity solution theory for Hamilton-Jacobi-Bellman (HJB) equations on the Wasserstein space using…
We consider Hamiltonians associated to optimal control problems for affine systems on the torus. They are not coercive and are possibly unbounded from below in the direction of the drift of the system. The main assumption is the strong…
We prove that a directed last passage percolation model with discontinuous macroscopic (non-random) inhomogeneities has a continuum limit that corresponds to solving a Hamilton-Jacobi equation in the viscosity sense. This Hamilton-Jacobi…
We introduce a new numerical method to approximate the solution of a finite horizon deterministic optimal control problem. We exploit two Hamilton-Jacobi-Bellman PDE, arising by considering the dynamics in forward and backward time. This…
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.…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…
We study optimal control problems in infinite horizon when the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (inspired by traffic models). We adapt the results in [H. M.…
We are interested in the study of parabolic equations on a multi-dimensional junction, i.e. the union of a finite number of copies of a half-hyperplane of dimension d + 1 whose boundaries are identified. The common boundary is referred to…
We investigate the large-time behavior of the value functions of the optimal control problems on the $n$-dimensional torus which appear in the dynamic programming for the system whose states are governed by random changes. From the point of…
This paper presents a mathematical formulation to perform temporal parallelisation of continuous-time optimal control problems, which can be solved via the Hamilton--Jacobi--Bellman (HJB) equation. We divide the time interval of the control…
In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems ranging from optimal reinsurance selections for general…
A close relationship between the classical Hamilton-Jacobi theory and the kinematic reduction of control systems by decoupling vector fields is shown in this paper. The geometric interpretation of this relationship relies on new…
The control of relaxation-type systems of ordinary differential equations is investigated using the Hamilton-Jacobi-Bellman equation. First, we recast the model as a singularly perturbed dynamics which we embed in a family of controlled…
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…
The goal of this paper is to prove a comparison principle for viscosity solutions of semilinear Hamilton-Jacobi equations in the space of probability measures. The method involves leveraging differentiability properties of the…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated…
Motivated by parallels between mean field games and random matrix theory, we develop stochastic optimal control problems and viscosity solutions to Hamilton-Jacobi equations in the setting of non-commutative variables. Rather than real…
A class of optimal control problems of hybrid nature governed by semilinear parabolic equations is considered. These problems involve the optimization of switching times at which the dynamics, the integral cost, and the bounds on the…