Related papers: Value and Policy Iteration in Optimal Control and …
We treat infinite horizon optimal control problems by solving the associated stationary Hamilton-Jacobi-Bellman (HJB) equation numerically to compute the value function and an optimal feedback law. The dynamical systems under consideration…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
This paper presents sufficient conditions for optimal control of systems with dynamics given by a linear operator, in order to obtain an explicit solution to the Bellman equation that can be calculated in a distributed fashion. Further, the…
We present a memory-bounded optimization approach for solving infinite-horizon decentralized POMDPs. Policies for each agent are represented by stochastic finite state controllers. We formulate the problem of optimizing these policies as a…
In this paper we get error bounds for fully discrete approximations of infinite horizon problems via the dynamic programming approach. It is well known that considering a time discretization with a positive step size $h$ an error bound of…
This paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting. We obtain a condition on the discount factor process under which all of the standard optimality results…
This paper studies the adaptive optimal control problem for a class of linear time-delay systems described by delay differential equations (DDEs). A crucial strategy is to take advantage of recent developments in reinforcement learning and…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
This article is the starting point of a series of works whose aim is the study of deterministic control problems where the dynamic and the running cost can be completely different in two (or more) complementary domains of the space $\R^N$.…
We study policy iteration (PI) for deterministic infinite-horizon discounted optimal control problems, whose value function is characterized by a stationary Hamilton--Jacobi--Bellman (HJB) equation. At the PDE level, PI is fundamentally…
We consider some boundary value tracking optimal control problem constrained by a Neumann boundary value problem for some elliptic partial differential equation where the control acts as right-hand side. This optimal control problem can be…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
Temporal point processes have been widely applied to model event sequence data generated by online users. In this paper, we consider the problem of how to design the optimal control policy for point processes, such that the stochastic…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
Many control problems in environments that can be modeled as Markov decision processes (MDPs) concern infinite-time horizon specifications. The classical aim in this context is to compute a control policy that maximizes the probability of…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
We investigate local optimality conditions of first and second order for integer optimal control problems with total variation regularization via a finite-dimensional switching point problem. We show the equivalence of local optimality for…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
The paper concerns the study of the Pontryagin Maximum Principle for an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. The optimal control model has already been studied both in…