Related papers: Continuity of the Value Function in Sparse Optimal…

We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…

This paper studies an optimal stochastic impulse control problem in a finite horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of time has to be elapsed before the next impulse is allowed to…

In this study, we adopt age of information as a measure of the staleness of information, and take initial steps towards analyzing the control performance of stochastic systems with stale information. Our goals are to cast light on a…

We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that the value of such an optimal stopping problem is a continuous…

Adaptive optimal control using value iteration initiated from a stabilizing control policy is theoretically analyzed in terms of stability of the system during the learning stage without ignoring the effects of approximation errors. This…

We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…

We consider the problem of designing a feedback controller for a multivariable linear time-invariant system which regulates an arbitrary system output to the solution of an equality-constrained convex optimization problem despite unknown…

This paper describes the reachable set and resolves an optimal control problem for the scalar conservation laws with discontinuous flux. We give a necessary and sufficient criteria for the reachable set. A new backward resolution has been…

We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…

Here an original idea is suggested to prove the existence of optimal control for some types of non- linear problems. The obtained results can be considered as individual existence theorems (in some sense).

In this paper we study an optimization problem in which the control is information, more precisely, the control is a $\sigma$-algebra or a filtration. In a dynamic setting, we establish the dynamic programming principle and the law…

We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…

The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…

Recently, there has been a surge in interest in safe and robust techniques within reinforcement learning (RL). Current notions of risk in RL fail to capture the potential for systemic failures such as abrupt stoppages from system failures…

In this paper, we propose control theoretic smoothing splines with L1 optimality for reducing the number of parameters that describes the fitted curve as well as removing outlier data. A control theoretic spline is a smoothing spline that…

Motivated by the applications, a class of optimal control problems is investigated, where the goal is to influence the behavior of a given population through another controlled one interacting with the first. Diffusive terms accounting for…

In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…

We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of stochastic control problems for stochastic Volterra equations (SVEs). Our study can be applied to rough processes that…

We consider control-constrained linear-quadratic optimal control problems on evolving surfaces. In order to formulate well-posed problems, we prove existence and uniqueness of weak solutions for the state equation, in the sense of…

We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…