Related papers: On Hamiltonian as limiting gradient in infinite ho…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
The necessity of a Maximum Principle arises naturally when one is interested in the study of qualitative properties of solutions to partial differential equations. In general, to ensure the validity of these kind of principles one has to…
In this paper we prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a finite dimensional stochastic differential equation, driven by a multidimensional Wiener process. We drop the usual…
We obtain Euler-Lagrange and transversality optimality conditions for higher-order infinite horizon variational problems on a time scale. The new necessary optimality conditions improve the classical results both in the continuous and…
In this paper, we discuss a new general formulation of fractional optimal control problems whose performance index is in the fractional integral form and the dynamics are given by a set of fractional differential equations in the Caputo…
In this paper we give a representation formula for the limit of the fnite horizon problem as the horizon becomes infinite, with a nonnegative Lagrangian and unbounded data. It is related to the limit of the discounted infinite horizon…
In this paper, we present a framework for solving continuous optimal control problems when the true system dynamics are approximated through an imperfect model. We derive a control strategy by applying Pontryagin's Minimum Principle to the…
The first motivation of our paper is to explore further the idea that, in risk control problems, it may be profitable to base decisions both on the position of the underlying process Xt and on its supremum Xt := sup 0$\le$s$\le$t Xs.…
The turnpike phenomenon stipulates that the solution of an optimal control problem in large time, remains essentially close to a steady-state of the dynamics, itself being the optimal solution of an associated static optimal control…
We discuss a mathematical framework for analysis of optimal control problems on infinite-dimensional manifolds. Such problems arise in study of optimization for partial differential equations with some symmetry. It is shown that some…
In this paper, we propose novel learning frameworks to tackle optimal control problems by applying the Pontryagin maximum principle and then solving for a Hamiltonian dynamical system. Applying the Pontryagin maximum principle to the…
Consider a general nonlinear optimal control problem in finite dimension, with constant state and/or control delays. By the Pontryagin Maximum Principle, any optimal trajectory is the projection of a Pontryagin extremal. We establish that,…
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
This paper outlines a novel extension of the classical Pontryagin minimum (maximum) principle to stochastic optimal control problems. Contrary to the well-known stochastic Pontryagin minimum principle involving forward-backward stochastic…
We adopt an optimal-control framework for addressing the undiscounted infinite-horizon discrete-time restless $N$-armed bandit problem. Unlike most studies that rely on constructing policies based on the relaxed single-armed Markov Decision…
The fundamental theorem of the theory of optimal control, the Pontryagin maximum principle (PMP), is extended to the setting of almost Lie (AL) algebroids, geometrical objects generalizing Lie algebroids. This formulation of the PMP yields,…
Given a submersion $\pi:Q \to M$ with an Ehresmann connection $\mathcal{H}$, we describe how to solve Hamiltonian systems on $M$ by lifting our problem to $Q$. Furthermore, we show that all solutions of these lifted Hamiltonian systems can…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
We prove a Pontryagin Maximum Principle for optimal control problems in the space of probability measures, where the dynamics is given by a transport equation with non-local velocity. We formulate this first-order optimality condition using…
This paper introduces a framework for solving time-autonomous nonlinear infinite horizon optimal control problems, under the assumption that all minimizers satisfy Pontryagin's necessary optimality conditions. In detail, we use methods from…